DPRIETI Discussion Paper Series 19-E-044

Demand System and Liquidity Constraints:Simple Methodology for Measuring Liquidity Constraint

INOSE, JunyaMitsubishi Research Institute, Inc.

The Research Institute of Economy, Trade and Industryhttps://www.rieti.go.jp/en/

1

RIETI Discussion Paper Series 19-E-044

June 2019

Demand System and Liquidity Constraints: Simple Methodology for Measuring Liquidity Constrainti

Junya INOSE

Mitsubishi Research Institute, Inc.

Abstract

This paper proposed a new methodology, which introduces a stochastic property in the field of

demand analysis, for measuring the skewness of the consumption bundle distribution. We used the

questionnaire data from the National Survey of Family Income and Expenditure, Japan, from 1989 to

2004. We regard two categories of variables such as the total expenditure of each household and the

expenditure share of 10 commodity groups (e.g., food expenditure share, medical expenditure share,

etc.) as random variables, and estimated the probability density function using the “Skew Normal

Distribution.” As a result, distortion in the same direction was detected in all of the 10 commodity

groups. We also calculated that the measured skewness mutually relates to the major proxy of the

liquidity constraint. As a proxy of households under liquidity constraint, here we employ the

measurement of the fraction of Hand-to-Mouth (HtM) households. This paper was motivated by the

need to provide a simple methodology for measuring the liquidity constraint even in countries with

poor statistical literacy. Although several proxies have been proposed to measure the liquidity

constraint, the methodology becomes complex for more rigorous measuring attempts. In contrast, our

methodology only requires micro data on total consumption and a separate total for each commodity

group.

Keywords: Demand System, AIDS, QUAIDS, Skew Normal Distribution.

JEL classification number: C65; D12; E21.

The RIETI Discussion Papers Series aims at widely disseminating research results in the form of professional

papers, with the goal of stimulating lively discussion. The views expressed in the papers are solely those of

the author(s), and neither represent those of the organization(s) to which the author(s) belong(s) nor the

Research Institute of Economy, Trade and Industry.

i This study is conducted as a part of the Project “Heterogeneity across Agents and Economic Growth” undertaken at Research Institute of Economy, Trade and Industry (RIETI)

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(

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)

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(

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0.209 0.0000.000 0.002

)

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0.209 0.0010.001 0.003

)

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0.209 −0.001−0.001 0.003

)

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(

0.215 0.0120.012 0.017

)

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0.225 0.0260.026 0.020

)

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0.209 0.0010.001 0.010

)

)+ ①♣♥)+ ,+ 2.49× 10−2

(

0.238 0.0400.040 0.033

)

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βαTotal αShare βTotal βShare

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(

0.346 −0.243−0.243 0.307

)

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(

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(

0.364 −0.301−0.301 0.417

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(

0.378 −0.208−0.208 0.874

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(

0.218 −0.089−0.089 1.590

)

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(

0.245 −0.221−0.221 2.062

)

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(

0.265 −0.120−0.120 0.580

)

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0.213 0.0060.006 3.543

)

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0.330 −0.212−0.212 0.824

)

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(

0.214 0.0320.032 1.124

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