tag:blogger.com,1999:blog-2098432983500045934.post3394048950614207821..comments2024-03-12T22:19:32.339-04:00Comments on The New Arthurian Economics: Reverse Engineering the Household Debt Service RatioThe Arthurianhttp://www.blogger.com/profile/16501331051089400601noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-2098432983500045934.post-26923686855471671832016-08-18T13:26:51.200-04:002016-08-18T13:26:51.200-04:00OT: " I notice you did not calculate the tren...OT: " I notice you did not calculate the trend on household debt serve with the HP algo.<br />So you are comparing filtered lagged data in your calculation, to raw data.<br />Is there a particular reason you did this?"<br /><br />Trying to simulate the debt service number. The sim was jiggy so I had to smooth it. But the debt service number was my target. I didn't want to change that; I wanted to duplicate it. So, no HP for the debt service.<br /><br />That was my thinking, anyway. A lot of this is intuitive or from the back of my mind or just seems right. But I don't know that it *is* right, so I'm glad you evaluate these things. Somebody needs to check my work!<br /><br />"... I can get a graph (which is now similar to yours) ..."<br /><br />If we can calculate a version of 'debt service' ... that's spectacular! And if it shows anomalies, so much the better.<br /><br />"Remember ... you suggested the same opinion that interest rates look too low relative to savings."<br /><br />I <a href="http://newarthurianeconomics.blogspot.com/2016/08/i-predict-vigor-because-thats-what.html?showComment=1470856198308#c5624328381973529017" rel="nofollow">remember</a>.<br /><br />This came up <a href="http://newarthurianeconomics.blogspot.com/2016/03/insights-from-interest-rate-simulation.html" rel="nofollow">before</a>: "If the simulation is good, maybe it shows that interest rates should have been higher in those years, higher than they actually were."<br /><br />What it all means, I don't quite get yet.<br />The Arthurianhttps://www.blogger.com/profile/16501331051089400601noreply@blogger.comtag:blogger.com,1999:blog-2098432983500045934.post-51233500876338498952016-08-18T09:17:07.562-04:002016-08-18T09:17:07.562-04:00Art
I had some time last night and went through ...Art <br /><br />I had some time last night and went through your spread sheet. I notice you did not calculate the trend on household debt serve with the HP algo. <br /><br />So you are comparing filtered lagged data in your calculation, to raw data. <br /><br />Is there a particular reason you did this?<br /><br />When I filter household debt service with HP and lag 9 qtrs. with 1600 constant I can get a graph (which is now similar to yours) that represents the story Household Debt Service has broken from the trend. (your exercise in putting the calculate data together looks reasonable) <br /><br />Which would support the argument interest rates are two low relative to savings. <br /><br />Remember this graph and the separation of the Red and Green lines, you suggested the same opinion that interest rates look too low relative to savings.<br /><br />https://fred.stlouisfed.org/graph/?graph_id=322050&category_id=<br /><br /><br /><br /><br /><br />Oilfield Trashhttps://www.blogger.com/profile/16151172995826850192noreply@blogger.comtag:blogger.com,1999:blog-2098432983500045934.post-57240500019058190382016-08-17T07:12:45.958-04:002016-08-17T07:12:45.958-04:00Oilfield, my thoughts on this topic are here.
Loo...Oilfield, my thoughts on this topic are <a href="http://newarthurianeconomics.blogspot.com/2016/08/illicit-use-of-hodrick-prescott.html" rel="nofollow">here</a>.<br /><br />Looking at what I did in the 14 August post, my objective was to take the red line from Graph #3 and smooth it until it was most similar to to the blue line. It seems to me that "standard" smoothing constants would have no bearing whatsoever on that task.<br /><br />I think I might try the 6.25 number, though, the next time I need HP for annual data.<br />The Arthurianhttps://www.blogger.com/profile/16501331051089400601noreply@blogger.comtag:blogger.com,1999:blog-2098432983500045934.post-28881241384726434972016-08-16T11:59:23.465-04:002016-08-16T11:59:23.465-04:00Art
Paper below is a short one and I think you sh...Art<br /><br />Paper below is a short one and I think you should give it a look over.<br /><br />http://faculty.georgetown.edu/mh5/class/econ489/Ravn-Uhlig.pdf<br /><br />I have seen debates on what constant to use for monthly and yearly data, but no one seem to be in disagreement on QTR data.<br /><br />If you are using the HP filter and QTR data 1600 is your constant. <br />Oilfield Trashhttps://www.blogger.com/profile/16151172995826850192noreply@blogger.comtag:blogger.com,1999:blog-2098432983500045934.post-28619140201700429992016-08-16T11:54:13.239-04:002016-08-16T11:54:13.239-04:00Okay, I went to the FRED link for graph #1 and add...Okay, I went to the FRED link for graph #1 and added a new line for the A072RC1Q156SBEA series. It came out exactly on top of my red line.<br /><br />I made my red line wider & changed yours to gold & you can see that yours rund right down the middle of mine.<br /><br />https://fred.stlouisfed.org/graph/?g=6E8F<br /><br />The two are the same. It's just that I didn't have the foresight to use the one that was already divided by Disposable Personal Income!!!<br /><br />Where yours differs from mine, my guess is it's because of the Hodrick-Prescott constant.<br /><br />Or they could be different if you have a different way to calculate the H-P. That would be interesting. I got VBA code for Excel from the internets to do the H-P calc. Been using it for a while and have no trouble with it, but I don't have a way to compare the output with H-P as calculated by other programs.<br />The Arthurianhttps://www.blogger.com/profile/16501331051089400601noreply@blogger.comtag:blogger.com,1999:blog-2098432983500045934.post-15049178946933514422016-08-16T11:34:04.609-04:002016-08-16T11:34:04.609-04:00Hi O... I did start with 1600 for the H-P constant...Hi O... I did start with 1600 for the H-P constant but it smoothed the line too much. What I was trying to achieve was a smoothed version of the jiggy line -- I want the smoothed version to follow the same path as the jiggy line, but not be jiggy.<br /><br />Nobody ever told me it's okay to do that, but it seems right to me.<br /><br />As for the saving data, I put three series on a graph and picked one. Let me look at yours and try to figure out what I did, and I'll get back to you on that.<br />The Arthurianhttps://www.blogger.com/profile/16501331051089400601noreply@blogger.comtag:blogger.com,1999:blog-2098432983500045934.post-77331774193835003402016-08-16T09:00:04.333-04:002016-08-16T09:00:04.333-04:00Art
Two Questions
1. Why did you not use A072RC...Art<br /><br />Two Questions <br /><br />1. Why did you not use A072RC1Q156SBEA (Personal saving as a percentage of disposable personal income)<br /><br />2. Why is your HP Constant set at 25 and not 1600 for QTR data. <br /><br />http://faculty.georgetown.edu/mh5/class/econ489/Ravn-Uhlig.pdf<br /><br />When I make these tweaks I find a different story in the graphs.Oilfield Trashhttps://www.blogger.com/profile/16151172995826850192noreply@blogger.com