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Business cycle fluctuations and excess sensitivity of private consumption

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Author Info
Gert Peersman
Lorenzo Pozzi
Abstract

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.

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Paper provided by Bank of England in its series Bank of England working papers with number 335.

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Handle: RePEc:boe:boeewp:335

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  1. Philip Vermeulen, 2000. "Business fixed investment: evidence of a financial accelerator in Europe," Working Paper Series 37, European Central Bank. [Downloadable!]
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  2. Sarantis, Nicholas & Stewart, Chris, 2003. "Liquidity constraints, precautionary saving and aggregate consumption: an international comparison," Economic Modelling, Elsevier, vol. 20(6), pages 1151-1173, December. [Downloadable!] (restricted)
  3. Pischke, J.S., 1993. "Individual Income, Incomplete Information, and Aggregate Consumption," Working papers 93-16, Massachusetts Institute of Technology (MIT), Department of Economics.
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  4. Lorenzo Pozzi & Freddy Heylen & Maarten Dossche, 2004. "Government Debt and Excess Sensitivity of Private Consumption: Estimates from OECD Countries," Economic Inquiry, Oxford University Press, vol. 42(4), pages 618-633, October. [Downloadable!] (restricted)
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This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.