Business Cycle Fluctuations and Excess Sensitivity of Private Consumption

Business Cycle Fluctuations and Excess Sensitivity of Private Consumption

We investigate whether business cycle fluctuations affect the degree of excess sensitivity of private consumption growth to disposable income growth. Using multivariate state space methods and quarterly US data for the period 1965-2000, we find that excess sensitivity is significantly higher during...

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Veröffentlicht in:Economica (London) 2008-08, Vol.75 (299), p.514-523
Hauptverfasser: PEERSMAN, GERT, POZZI, LORENZO
Format: Artikel
Sprache:eng
Schlagworte:
Business cycle transmissions
Business cycles
Consumer economics
Consumer loans
Consumption
Consumption patterns
Disposable income
Economic fluctuations
Economic growth
Economic recessions
Household consumption
Liquidity
Low frequencies
Macroeconomics
Mathematical independent variables
Maximum likelihood estimation
Sensitivity analysis
Studies
U.S.A
Unemployment rates
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Beschreibung
Zusammenfassung:We investigate whether business cycle fluctuations affect the degree of excess sensitivity of private consumption growth to disposable income growth. Using multivariate state space methods and quarterly US data for the period 1965-2000, we find that excess sensitivity is significantly higher during recessions.
ISSN:0013-0427
1468-0335
DOI:10.1111/j.1468-0335.2007.00624.x