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, 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. JEL Classification: E21, F41
| Author: | Christopher D. Carroll, Jirka Slacalek, Martin Sommer |
|---|---|
| URN: | urn:nbn:de:hebis:30-54376 |
| Series (Serial Number) | CFS working paper series (2008, 09) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 11.04.2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | consumption dynamics ; habit formation; sticky expectations |
| HeBIS PPN: | 197750494 |
| Institutes: | Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
