Data for: A test of the household income process using consumption and wealth data

Abstract of associated article: The evolution of household income can be explained almost equally well by rival models. However, rival models have very different implications for other household behaviours, such as consumption. I therefore test between two prominent models in the UK using panel data on consumption and wealth, as well as income, over 1991–2006. To operate the test, I show that long-lived income shocks transmit far less than one-for-one through to consumption, and particularly so for younger households. I then compare these estimates of transmission with estimates of households’ ability to smooth shocks, captured by the data on wealth. Conditional on the suitability of the consumption model, my estimates provide evidence against the restricted income process (RIP) and in favour of an alternative heterogeneous income process (HIP). This finding also explains why cross-sectional consumption inequality grew slowly over the period even though the variance of long-lived shocks was high. Finally, I conclude that it is important to consider mean reversion of shocks when constructing life-cycle consumption models.

关联论文摘要：不同的竞争性模型均能近乎同等程度地解释家庭收入的演化路径。然而，这些竞争性模型对于家庭的其他行为（如消费行为）却有着截然不同的理论涵义。因此，本文基于英国1991年至2006年间涵盖消费、财富与收入的面板数据，对两类主流模型展开对比检验。为完成该检验，本文论证：长期收入冲击对消费的传导比例远低于一比一，且这一现象在年轻家庭中尤为显著。随后，本文将上述传导系数的估计结果与基于财富数据测算的家庭平滑冲击能力的估计值进行对比。在消费模型适用性成立的前提下，本文的估计结果为受限收入过程（restricted income process, RIP）提供了否定性证据，同时支持另一类异质性收入过程（heterogeneous income process, HIP）。这一发现同时解释了：尽管长期收入冲击的方差较高，但此期间横截面消费不平等的增速却较为缓慢。最后，本文得出结论：在构建生命周期消费模型时，考虑冲击的均值回归特性具有重要意义。