Financial Crisis and Sticky Expectations
We utilize the Kalman filter and instrumental variable methods to estimate consumption growth persistence for the U.S. Results show that prior to the financial crisis, the stickiness parameter beta was around 0.7. However, when the sample is extended until 2009.Q1, the estimates of beta declined to around 0.5. Extending the sample beyond 2009.Q1 show mild increase in beta. Our findings imply that during the crisis consumers' attentiveness to aggregate information has slightly increased, thereby reducing the persistence of aggregate consumption growth.
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- Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2011.
"International Evidence on Sticky Consumption Growth,"
The Review of Economics and Statistics,
MIT Press, vol. 93(4), pages 1135-1145, November.
- Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence On Sticky Consumption Growth," Economics Working Paper Archive 542, The Johns Hopkins University,Department of Economics.
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- Carroll, Christopher D. & Slacalek, Jirka & Sommer, Martin, 2008. "International evidence on sticky consumption growth," CFS Working Paper Series 2008/09, Center for Financial Studies (CFS).
- Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence on Sticky Consumption Growth," NBER Working Papers 13876, National Bureau of Economic Research, Inc.
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- Ferson, Wayne E. & Constantinides, George M., 1991. "Habit persistence and durability in aggregate consumption: Empirical tests," Journal of Financial Economics, Elsevier, vol. 29(2), pages 199-240, October.
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