Trends in the Transitory Variance of Male Earnings: Methods and Evidence

Robert A. Moffitt; Peter Gottschalk

doi:10.1353/jhr.2012.0001

Trends in the Transitory Variance of Male Earnings: Methods and Evidence

The Journal of Human Resources ◽

10.1353/jhr.2012.0001 ◽

2012 ◽

Vol 47 (1) ◽

pp. 204-236 ◽

Cited By ~ 29

Author(s):

Robert A. Moffitt ◽

Peter Gottschalk

Keyword(s):

Transitory Variance

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VECM and Variance Decomposition: An Application to the Consumption-Wealth Ratio

International Journal of Economics and Finance ◽

10.5539/ijef.v9n6p188 ◽

2017 ◽

Vol 9 (6) ◽

pp. 188

Author(s):

Francois De Paul Silatchom

Keyword(s):

Variance Decomposition ◽

Cointegration Analysis ◽

Financial Assets ◽

Decomposition Technique ◽

Quarterly Data ◽

Contemporaneous Correlation ◽

Tangible Assets ◽

Permanent Shocks ◽

Transitory Variance

This study uses a variance decomposition technique, which doesn’t rely on the underlying economic theory, in order to implement a permanent-transitory variance decomposition of the consumption-wealth ratio. We break down the wealth variable into financial assets, tangible assets, and human assets. Using quarterly data over the last six decades, we rely on cointegration analysis as the framework for the study, in order to assess the long-term interrelation between consumption shocks, and those from each of the above mentioned wealth components. Our results indicate that wealth components tend to exhibit permanent shocks, while consumption shocks appear to be transitory. Moreover, the results also indicate a low contemporaneous correlation between shocks in consumption and the ones from financial assets, and also between shocks in consumption and the ones from tangible assets. In addition, the variance decomposition of consumption shocks seems to indicate that, over the time a significantly increasing proportion of consumption shocks is explained by financial assets.

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Has the Instability of Personal Incomes been Increasing?

National Institute Economic Review ◽

10.1177/002795011121800104 ◽

2011 ◽

Vol 218 ◽

pp. R33-R43 ◽

Cited By ~ 3

Author(s):

Stephen P. Jenkins

Keyword(s):

The Past ◽

The Usa ◽

Transitory Variance ◽

Recent Attention ◽

Personal Incomes

This paper examines trends in the instability of personal incomes in Britain in terms of changes in the transitory variance and in volatility, measures that have received much recent attention in research about the USA. It is shown that, although US measures have trended upwards over the past two decades, there is no such trend in Britain between the early-1990s and the mid-2000s. Explanations for these differences are discussed.

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