Auto-Regressive Distributed Lag Model for Long-Run U.S. Household Debt Determinants

E. Swanepoel
{"title":"Auto-Regressive Distributed Lag Model for Long-Run U.S. Household Debt Determinants","authors":"E. Swanepoel","doi":"10.21511/IMFI.16(3).2019.05","DOIUrl":null,"url":null,"abstract":"US household debt increased on a yearly basis from 1987 to 2007. In addition, household debt in the USA nearly doubled between 2000 and 2007, from $5.6 trillion to $9 trillion. This came to an abrupt end in 2009 with the crash of the financial market. This paper employs the bound test and Auto-regressive Distributed Lag Model to determine the long-run relationship between US household debt and consumer prices, housing prices, the unemployment rate, and the lending rate. Unit root tests were conducted first to ascertain the stationarity of the variables. E-views 11 was used in the analysis of the data, which was obtained from Q1: 1990 to Q1: 2007 from the International Monetary Fund and the US FED. It was found that in the long run, there is a negative effect of consumer prices and unemployment on US household debt, while house prices and the lending rate would have a positive effect on household debt.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"35 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Econometric & Statistical Methods - General eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21511/IMFI.16(3).2019.05","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

Abstract

US household debt increased on a yearly basis from 1987 to 2007. In addition, household debt in the USA nearly doubled between 2000 and 2007, from $5.6 trillion to $9 trillion. This came to an abrupt end in 2009 with the crash of the financial market. This paper employs the bound test and Auto-regressive Distributed Lag Model to determine the long-run relationship between US household debt and consumer prices, housing prices, the unemployment rate, and the lending rate. Unit root tests were conducted first to ascertain the stationarity of the variables. E-views 11 was used in the analysis of the data, which was obtained from Q1: 1990 to Q1: 2007 from the International Monetary Fund and the US FED. It was found that in the long run, there is a negative effect of consumer prices and unemployment on US household debt, while house prices and the lending rate would have a positive effect on household debt.
长期美国家庭债务决定因素的自回归分布滞后模型
从1987年到2007年,美国家庭债务每年都在增加。此外,美国家庭债务在2000年至2007年间几乎翻了一番,从5.6万亿美元增至9万亿美元。随着2009年金融市场的崩溃,这一切戛然而止。本文采用约束检验和自回归分布滞后模型来确定美国家庭债务与消费者价格、房价、失业率和贷款利率之间的长期关系。首先进行单位根检验以确定变量的平稳性。使用E-views 11对1990年第一季度至2007年第一季度从国际货币基金组织和美国联邦储备委员会获得的数据进行分析,发现从长期来看,消费者价格和失业率对美国家庭债务有负向影响,而房价和贷款利率对家庭债务有正向影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信