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Title: Liquidity, wealth and consumption : estimation of an integrated model of the U.K. personal sector's consumption and portfolio behaviour
Author: Owen, P. D.
Awarding Body: University College of Swansea
Current Institution: Swansea University
Date of Award: 1983
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This study develops a modelling framework which enables expenditure and portfolio behaviour to be analysed in an integrated manner and applies it to the U.K. personal sector. The model jointly determines the consumption-savings decision and the portfolio allocation decision subject to an income flow constraint. It synthesizes and extends previous work by Douglas Purvis and Gary Smith on the multivariate stock-adjustment 'Pitfalls' model associated with William Brainard and James Tobin and contains their models as special cases through the imposition of a priori restrictions which can be interpreted as identifying restrictions on the general model. Appropriate estimation methods are considered taking account of the endogeneity of wealth in the model and the non-linear nature of the adding up restrictions imposed by the accounting framework. Different versions of the model are estimated using quarterly stock and flow data for the U.K. personal sector over the period 1963 to 1978. Emphasis is given to testing restrictions relating to the validity of an integrated 'Pitfalls'-type approach. Results suggest that asset composition effects on expenditure and asset demands as well as gross interest rate and price responses and adjustment coefficients are significant, supporting the use of models which emphasize interdependence within the portfolio and between expenditure and portfolio allocation.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available