The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data

Research output: Working paper › Research

Standard

The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data. / Druedahl, Jeppe; Jensen, Emil Bjerre; Leth-Petersen, Søren.

2022.

Research output: Working paper › Research

Harvard

Druedahl, J, Jensen, EB & Leth-Petersen, S 2022 'The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data'. https://doi.org/10.2139/ssrn.4222346

APA

Druedahl, J., Jensen, E. B., & Leth-Petersen, S. (2022). The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data. CEBI Working Paper Series Vol. 22 No. 13 https://doi.org/10.2139/ssrn.4222346

Vancouver

Druedahl J, Jensen EB, Leth-Petersen S. The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data. 2022. https://doi.org/10.2139/ssrn.4222346

Author

Druedahl, Jeppe ; Jensen, Emil Bjerre ; Leth-Petersen, Søren. / The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data. 2022. (CEBI Working Paper Series; No. 13, Vol. 22).

Bibtex

@techreport{4b75b90b478448cabceb3b7e230a9401,
title = "The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data",
abstract = "To analyze the effectiveness of stabilization policies which includes effects on households future income it is central to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet data from a major Danish bank. We examine the behavior of borrowers with adjustable rate mortgages, and exploit that the bank sends a letter before the annual reset containing advance information on the expected change in mortgage payments. We find that unconstrained households respond immediately, while liquidity constrained households instead wait and respond around the time the cash-flow-arrives. The cumulative response is similar across the liquidity distribution. This is in line with a standard buffer-stock consumption model, and implies that it is less effective to target stimulus to low liquidity households when the effect on household income is partly in the future. ",
author = "Jeppe Druedahl and Jensen, {Emil Bjerre} and S{\o}ren Leth-Petersen",
year = "2022",
doi = "http://dx.doi.org/10.2139/ssrn.4222346",
language = "English",
series = "CEBI Working Paper Series",
number = "13",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data

AU - Druedahl, Jeppe

AU - Jensen, Emil Bjerre

AU - Leth-Petersen, Søren

PY - 2022

Y1 - 2022

N2 - To analyze the effectiveness of stabilization policies which includes effects on households future income it is central to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet data from a major Danish bank. We examine the behavior of borrowers with adjustable rate mortgages, and exploit that the bank sends a letter before the annual reset containing advance information on the expected change in mortgage payments. We find that unconstrained households respond immediately, while liquidity constrained households instead wait and respond around the time the cash-flow-arrives. The cumulative response is similar across the liquidity distribution. This is in line with a standard buffer-stock consumption model, and implies that it is less effective to target stimulus to low liquidity households when the effect on household income is partly in the future.

AB - To analyze the effectiveness of stabilization policies which includes effects on households future income it is central to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet data from a major Danish bank. We examine the behavior of borrowers with adjustable rate mortgages, and exploit that the bank sends a letter before the annual reset containing advance information on the expected change in mortgage payments. We find that unconstrained households respond immediately, while liquidity constrained households instead wait and respond around the time the cash-flow-arrives. The cumulative response is similar across the liquidity distribution. This is in line with a standard buffer-stock consumption model, and implies that it is less effective to target stimulus to low liquidity households when the effect on household income is partly in the future.

U2 - http://dx.doi.org/10.2139/ssrn.4222346

DO - http://dx.doi.org/10.2139/ssrn.4222346

M3 - Working paper

T3 - CEBI Working Paper Series

BT - The Intertemporal Marginal Propensity to Consume out of Future Persistent Cash-Flows: Evidence from Transaction Data

ER -

ID: 336459863