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28 : 2 (2000), 127
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0.150]
20.2
0.123]
14.5
0.412]
15.7
0.332]
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0.352]
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0.238]
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(8')
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0.435*
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LM
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0.000]
70.8*
0.000]
78.5*
0.000]
71.0*
0.000]
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0.000]
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0.000]
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0.005]
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0.001]
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0.009]
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NB
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0.775*
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0.061*
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0.034
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0.034
(0.022)
0.054*
(0.013)
0.050*
(0.011)
16.9
0.21]
15.4
0.282]
12.0
0.527]
13.9
0.380]
15.4
0.281]
16.8
0.219]
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0.635* 0.388*
(0.131) (0.120)
9.08* 12.1
0.003] 0.792]
NB
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(0.078)
0.535* 0.240*
(0.121) (0.101)
8.88* 10.9
0.003] 0.861]
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0.028
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0.10
17.9
0.754] 0.392]
NU
0.041
(0.064)
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(0.123) (0.108)
0.01
18.9
0.934] 0.335]
(9') TW
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0.766* 0.503*
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4.19* 15.3
0.041] 0.577]
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TB
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4.37*
(0.130) (0.116)
0.037]
0.647* 0.328* −0.000 0.59
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NB
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(0.086)
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(0.069)
(0.069)
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15.7
0.547]
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0.506]
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(0.083)
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0.743* 0.549* −0.002 0.17
18.6
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0.032
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19.0
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16.7
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145
Bernanke, B. S. (1984), Permanent Income, Liquidity, and Expenditure on Automobiles:
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Evidence from Panel Data, Quarterly Journal of Economics, 98, 587
614.
(1985), Adjustment Costs, Durables and Aggregate Consumption, Journal of Monetary
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IMPERFECT LOAN MARKET, MYOPIA, AND PERMANENT
INCOME HYPOTHESIS AN EMPIRICAL STUDY OF TAIWAN
ç ç
Lii{Tarn Chen
Associate Research Fellow
Institute of Economics
Academia Sinica
Sheng{Cheng Hu
Director and Research Fellow
Institute of Economics
Academia Sinica
ABSTRACT
]
Campbell and Mankiw (1990) claim that Hall’s version of the life cycle/permanent-
income hypothesis (LCH/PIH) does not hold if there are consumers who follow the rule of
thumb by deciding their consumption on the basis of their current income. In general, the
rule–of–thumb behavior can be explained by credit constraints (or liquidity constraints) and
myopia. However, Campbell and Mankiw do not tell us which one is a better explanation
for the rule–of–thumb behavior. In this study, we develop an econometric model and conduct a simple test, which differs from the conventional concept of liquidity constraints. The
procedure allows us to estimate the proportions of consumption that are affected by credit
constraints and by myopia, respectively. Our empirical test based on Taiwan’s quarterly
data finds that both proportions are significantly different from zero, which implies Hall’s
LCH/PIH does not hold.
Keywords: Life cycle/Perment–Income Hypothesis, Rule–of–thumb, Credit constraint,
Myopia
