消費の経済理論の形成と消費関数論争

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れれまきい
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1 No Absrac In order o make a conclusion abou which consumpion funcion is beer o explain he siuaion of he economy, his hesis will discuss he forming process of he absolue income hypohesis (Keynes), relaive income hypohesis (J.S.Duesenberry), permanen income hypohesis (Milon Friedman) and Life-cycle hypohesis, and also concern he dispue abou hese heories. 1. J.M. (J.M.Keynes) 1) P.A. (P.A.Samuelson) H.S. (H.S.Houhakker) (life cycle hypohesis) (permanen income hypohesis) Hall(1978) 2)

2 2. ( ) 1936 (MPC, marginal propensiy o consume) 0 1 (APC, average propensiy o consume) C = C + cy C > 0 0 < c < 1 (1) C Y C (auonomous consumpion) c (Simon Kuznes) ) GDP 4) ( )

3 No ( ) Spanos(1989 5) ) (1) (2) (3) (4) 1940 James S. Duesenberry (James Tobin) Franco Modigliani Richard Brumgerg Alber Ando life cycle hypohesis Milon Friedman F. J.S. 6) 7) C = αy + β ( Y Y0 ) β < 0 (2) C Y Y 0 (2)

4 (2) C = α + β α > 0 (3) Y (3) k 1 k C 45º 線 L K C = ky d L 1 K 1 O Y Y d1 Y d 2 S = + Y α β (4) Y Yˆ S Y Yˆ

5 No C S Y = 1 = (1 α) β ( ) (5) Y Y Yˆ r Y = (1 + r) (5) Yˆ C = ( 1 α) Y β (1 + r) Y (6) (6) Y 1 (5) Yˆ ( 1 α) β (1 + r) Y -1 K 1 L 1 K 1 L 1 KL (1948) 8) (James Tobin) 2 C = a + by + dm ( a > 0, b > 0, d < 0) (7) Y C M C a dm = b + + (8) Y Y Y M/Y a/y dm/y ) )

6 1951 FSA(The Farm Securiy Adminisraion) ( ) (L.R.Klein) (A.S.Goldberger) (1955) 11) ( ) A Theory of he Consumpion Funcion 12) (1) (2) y = y + y (9) i pi i y i i y pi i y i i c = c + c (10) i pi i

7 No c i i c pi i c i i 13) Y C p p p p C = ky (11) k C C p = ky p C 1 C 0 C 2 K L A N M C = α + βy O C = α + βy (12) β = V Y ) k /( V ( Y ) + V ( Y )) (Variance) ( p p Y Y 2 p 2 Y 0 = Yp0 Y Y p Y 1 Y p1 Y 1 ( Y1 Yp1) Y 1 Y p1 k Y p1 (11) N Y 1 C1 N M Y 0 Y 0 Y p0 C 0 = ky0 Y 0 C 0 A Y 2 Y

8 Y p2 Y p2 k (11) -2 L L K M A K L N L N

9 No ( : ) Z N ZN C L CL = ZN (13) ZN L C N C = Z (14) L (14) N / L (14) W/P max Z C 0 N L -3 14) C CL ( Z C) N C( L N)

10 T W / P N T Z L T W C ( L T ) = + ( N T ) Z (15) P W / P (15) W 1 N T C = α + βz, α β N T (16) P L T L T (16) (16) (16) 1) 2) 3) 1/( L T ) 4)

11 No ) 4.3 Hall,R Sochasic Implicaions of he Life-Permanen Income Hypohesis: Theory and Evidence E T τ (1 + ) U ( C + τ τ = 0 ρ ) (17) T E T w T + τ C + τ + A = (18) τ τ τ= 0 (1 + r) τ= 0 (1 + r) A w, r (Euler ) (19) 1+ ρ Eu' ( C+ 1) = u'( C ) 1+ r (19) (19) (20) 1+ ρ u' ( C + ) = u'( C ) + ε + 1 E ( ε + 1) 1+ r 1 = 2 r ρ 0 (20) C = γ + ε, γ 1 (21) C

12 (19) E ( ε ) 0 (21) 1 = 1 1 (22) 1 X 1 (21) C γc + βx + ε, γ 1 (22) = 1 1 β F Hall Hall (1) (Euler ) (2) (1) Euler ( ) (2) Hall (22) X 1 1 C 1 Hall Hall Euler Hall 1980 Hall Hall ( ) 16) Nelson(1994) 17) Cochrane(1991) 18) Rosenzweig(1993) 19)

13 No J.M

14 -1 J.M.Keynes (1936), The General Theory of Employmen Ineres and Money, PP Hall,R (1978), Sochasic implicaions of he Life Cycle-Permanen Income hypohesis, Journal of Poliical Economy 96:pp Simon Kuznes (1946), Naional Produc since 1869, New York, Naional Bureau of Economic Research. Inc. p119 pp51-52 Spanos (1989), Early Empirical Fridings on he Consumpion Funcion, Sylized Facs or Ficion: A Rerospecive View, Oxford Economic Papers, vol.41, pp Modigliani, F (1948), "Flucuaions in he Saving-Income Raio; A Problem in Economic Forecasing", Sudies in Income and Wealh, Vol.11, NBER Dusenberry,J.S. (1948), Income, Saving and he Theory of Consumer Behavior, ( 1961 ) J.S.Duesenberry (1948), Income-Consumpion Relaions and heir Implicaions, in Income, Employmen, and Public Policy, Essays in Honor of Alvin H.Hansen, W.W.Noron & Co., Inc., pp James Tobin (1951), Relaive Income, Absolue Income, and Saving, in Money Trade and Economic Growh, in honor of John Henry Williams, James Tobin (1952), Asses Holdings and Spending Decision, AER, Papers and Proceedings, vol.42 L.R.Klein, A.S.Goldgerer (1955), An Economeric Model of he Unied Saes, , Amserdam, Norh-Holland Milon Friedman (1957), A Theory of he Consumpion Funcion, Princeon PP

15 No Franco Mondigliani (1966) The Life Cycle Hypohesis of Saving, he Demand for Wealh and Supply of Capial, Social Research, vol. 33, No.2, Alber Ando and Franco Modigliani (1963), The Life Cycle Hypohesis of Saving: Aggregae Implicaions and Tess, American Economic Review, March Hayashi, F (1985) The Permanen Income Hypohesis and Consumpion Durabiliy: Analysis Based on Japanese Panel Daa, Quarerly Journal of Economics, Vol.100, pp Hayashi, F (1987) Tess for Liquidiy Consains: A Criical Survey and Some New Observaions, in T. Bewley, (ed.), Advances in Economerics, Vol., New York: Cambridge Universiy Press, pp Alonji, J., F. Hayashi and L. Kolikoff (1992), Is he Exended Family Alruisically Linked? Direc Tess Using Micro Daa, American Economic Review, Vol. 82, pp Hayashi, F (1995), Is he Japanese Exended Family Alruisically Linked? A Tes Based on Engel Curves, Journal of Poliical Economy, Vol. 103, pp Hayashi, F., J. Alonji, and L. Kolikoff (1996), Risk-Sharing beween and wihin Families, Economerica, Vol.64, pp Nelson, J (1994), On Tesing Full Insurance Using Consumer Expendiure Survey Daa, Journal of Poliical Economy, Vol.102, pp Cochrane, J (1991), A Simple Tes of Consumpion Insurance, Journal of Poliical Economy, Vol.99, pp Rosenzweig, M. and K. Wolpin (1993), Inergeneraional Suppor and he Life-Cycle Incomes of Young Men and Their Parens: Human Capial Invesmens, Co-Residence, and Inerhousehold Transfers, Journal of Labor Economics, Vol.11, pp J.S.Duesenberry (1948), Income-Consumpion Relaions and heir Implicaions, in Income, Employmen, and Public Policy, Essays in Honor of Alvin H.Hansen, W.W.Noron & Co., Inc., pp Hall,R (1978), Sochasic implicaions of he Life Cycle-Permanen Income hypohesis, Journal of Poliical Economy No 96:pp Modigliani, F., "Flucuaions in he Saving-Income Raio; A Problem in Economic Forecasing", Sudies in Income and Wealh, Vol.11, NBER, 1948 Alber Ando and Franco Modigliani, The Life Cycle Hypohesis of Saving: Aggregae Implicaions and Tess, American Economic Review, March 1963 Milon Friedman (1957), A Theory of he Consumpion Funcion, Princeon PP L.R.Klein, A.S.Goldberer (1955), An Economeric Model of he Unied Saes, , Amserdam, Norh-Holland James Tobin (1951), Relaive Income, Absolue Income, and Saving, in Money Trade and Economic Growh, in honor of John Henry Williams, Modigliani, F (1948), "Flucuaions in he Saving-Income Raio; A Problem in Economic Forecasing", Sudies in Income and Wealh, Vol.11, NBER Simon Kuznes(1946), Naional Produc since 1869, New York, Naional Bureau of Economic Research. Inc. J.S.Duesenberry(1948), Income-Consumpion Relaions and heir Implicaions, in Income, Emplomen, and Public Policy, Essays in Honor of Alvin H.Hansen, W.W.Noron & Co., Inc. James Tobin (1952), Asses Holdings and Spending Decision, AER, Papers and Proceedings, vol.42 George T. McCandless and Neil Wallace (1991) INTRODUCTION TO DYNAMIC MACROECONOMIC

16 THEORY Harvard Universiy Press (, 1994) David Romer(1996), Advanced Macroeconomics (,1998) Spanos (1989), Early Empirical Fridings on he Consumpion Funcion, Sylized Facs or Ficion: A Rerospecive View, Oxford Economic Papers, vol.41, pp Vol.51No.1,2,3 pp Vol.84,No.1 pp Vol.77,N0.1,pp ,Vol.77 N0.3,4 pp

財政赤字の経済分析：中長期的視点からの考察

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