"Estimación de una Ecuación de Euler del Consumo Per Cápita para México: 1980-2010 "

Abstract

This paper estimates an Euler equation for per capita consumption in Mexico with quarterly data from 1980 to 2010. The estimation assumes an isolelastic utility function and is performed using the Generalized Method of Moments (GMM). Results are consistent with the theoretical framework, though the residuals of the original equation are not random, which challenges the rational expectations hypothesis. An additional estimation adding past levels of consumption (see for example Fuhrer and Rudebusch (2004)) cleans the residuals and is consistent with the theory of the Euler equation as a long run result. A complementary analysis shows that in Mexico it is possible to reject cointegration between the per capita consumption and the per capita GDP, which is compatible with the existence of an Euler equation for consumption.