Carannante, Maria (2016) Effects of Uncertainty on Household Saving Rate. [Tesi di dottorato]

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Item Type: Tesi di dottorato
Lingua: English
Title: Effects of Uncertainty on Household Saving Rate
Creators:
CreatorsEmail
Carannante, Mariamaria.carannante@unina.it
Date: 31 March 2016
Number of Pages: 56
Institution: Università degli Studi di Napoli Federico II
Department: Scienze Economiche e Statistiche
Scuola di dottorato: Scienze economiche e statistiche
Dottorato: Scienze economiche
Ciclo di dottorato: 28
Coordinatore del Corso di dottorato:
nomeemail
Acconcia, AntonioUNSPECIFIED
Tutor:
nomeemail
Acconcia, AntonioUNSPECIFIED
Date: 31 March 2016
Number of Pages: 56
Uncontrolled Keywords: Household Saving Behaviour, Policy Uncertainty, Structural VAR, Uncertainty
Settori scientifico-disciplinari del MIUR: Area 13 - Scienze economiche e statistiche > SECS-P/01 - Economia politica
Area 13 - Scienze economiche e statistiche > SECS-P/05 - Econometria
Date Deposited: 13 Apr 2016 08:33
Last Modified: 02 Nov 2016 13:02
URI: http://www.fedoa.unina.it/id/eprint/10940

Abstract

This PhD thesis attempts to investigate the role of economic uncertainty in driving the behaviour of household savings for six European countries. Focusing on three main sources of economic uncertainty Unemployment Risk, Fiscal Policy Uncertainty and Financial Crisis-Investment risk, I construct a Structural Vector Autoregressive (SVAR) model comprising of the Household Saving Rate, main variable of interest; the unemployment rate, to proxy labour income uncertainty and the risk of an income loss; the volatility of financial stock prices per each country, to detect for the presence of financial uncertainty/crisis; a policy uncertainty indicator, using alternatively the Policy Uncertainty Index devised by Baker, Bloom, and Davis (2012), the Debt to GDP ratio or the Government Surplus/Deficit to GDP ratio. A comparison among country-specific cumulative impulse response functions suggests that: 1. Household saving rate’s response to a change in investment risk is ambiguous, due to two counterbalancing effects: higher risk increases the volatility of future consumption and thus stimulates the accumulation of savings, while a more uncertain rate of return reduces the attractiveness of saving since it increases the risk of capital losses. 2. A labour uncertainty shock is detrimental or a booster for saving depending on whether the downward pressures on saving rate due to lower saving from unemployed people, prevails or not over the higher households propensity to save for precautionary reasons. 3. Fiscal policy instruments and related uncertainty influence the savings pattern of the private sector: private saving falls when governments reduce deficits (or the debt level) or run large budget surpluses and vice versa, as suggested by the Ricardian paradigm. I then propose another possible approach to the analysis, a Bayesian estimation of the reduced form VARs for the panel of European countries, as a Hierarchical Linear Model, with the future aim of improving estimation results.

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