International evidence on sticky consumption growth

We estimate the degree of 'stickiness' in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, cons
We estimate the degree of 'stickiness' in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of autocorrelation, with a stickiness parameter of about 0.7 on average across countries. The sticky-consumption-growth model outperforms the random walk model of Hall (1978), and typically fits the data better than the popular Campbell and Mankiw (1989) model. In several countries, the sticky-consumption-growth and Campbell-Mankiw models work about equally well.
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Metadaten
Author:Christopher D. Carroll, Jirka Slacalek, Martin Sommer
URN:urn:nbn:de:hebis:30-54376
URL:http://www.ifk-cfs.de/fileadmin/downloads/publications/wp/08_09.pdf
Parent Title (German):CFS working paper series ; 2008,9
Series (Serial Number):CFS working paper series (2008, 09)
Document Type:Working Paper
Language:English
Year of Completion:2008
Year of first Publication:2008
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2008/04/11
Tag:consumption dynamics; habit formation; sticky expectations
SWD-Keyword:Privater Verbrauch
HeBIS PPN:197750494
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E21 Consumption; Saving; Wealth
F41 Open Economy Macroeconomics
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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