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Cointégration fractionnaire entre la consommation et le revenu

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  • Valérie Mignon
  • Sandrine Lardic

Abstract

[eng] Fractional Cointegration Between Consumption and Income.. The purpose of this paper is to test the existence of a stable long-term relationship between consumption and income. To do so, we use the concept of fractional cointegration rather than the usual concept of cointegration. Standard tests do not reveal any cointegration between consumption and income in the five countries of our sample (France, Germany, United Kingdom, United States and Canada). However, our results suggest that consumption and income are fractionally cointegrated in Germany, France and the United Kingdom. This conclusion shows that consumption and income evolve together in the long term, even if a relatively persistent spread between the two variables can exist in the shorter term. [fre] L’objet de cet article est de tester l’existence d’une relation stable de long terme entre la consommation et le revenu. A cette fin, nous dépassons la notion usuelle de cointégration en ayant recours au concept de cointégration fractionnaire. Alors que les tests usuels font ressortir l’absence de cointégration entre la consommation et le revenu pour les cinq pays considérés (France, Allemagne, Royaume-Uni, États-Unis et Canada), nos résultats mettent en avant la présence de cointégration fractionnaire entre les deux variables pour l’Allemagne, la France et le Royaume-Uni. Cette conclusion montre que la consommation et le revenu évoluent ensemble à long terme, même si un écart relativement durable peut exister entre les deux variables à plus court terme.

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  • Valérie Mignon & Sandrine Lardic, 2003. "Cointégration fractionnaire entre la consommation et le revenu," Économie et Prévision, Programme National Persée, vol. 158(2), pages 123-142.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2003_num_158_2_6907
    DOI: 10.3406/ecop.2003.6907
    Note: DOI:10.3406/ecop.2003.6907
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