Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
利用PSID 2005-2017年消费数据，在非线性分位数框架下估计消费对收入冲击的异质性反应，发现低消费类型家庭对冲击反应更强，高消费类型反应较弱且不随年龄资产变化。
In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005–2017 to explore the transmission of income shocks to consumption. We build on the nonlinear quantile framework introduced in Arellano et al. (2017). Our focus is on the estimation of consumption responses to persistent nonlinear income shocks in the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our unbalanced panel, we develop Sequential Monte Carlo computational methods. We find substantial heterogeneity in consumption responses, and uncover latent types of households with different life-cycle consumption behavior. Ordering types according to their average log-consumption, we find that low-consumption types respond more strongly to income shocks at the beginning of the life cycle and when their assets are low, as standard life-cycle theory would predict. In contrast, high-consumption types respond less on average, and in a way that changes little with age or assets. We examine various mechanisms that might explain this heterogeneity.