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, 2008.
"International Evidence On Sticky Consumption Growth,"
Economics Working Paper Archive
542, The Johns Hopkins University,Department of Economics.
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- Christopher Carroll, 2008. "LaTeX source for the paper and programs for International Evidence On Sticky Consumption Growth," Economics Companion Software Archive 2, The Johns Hopkins University,Department of Economics.
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Elsevier, vol. 29(2), pages 199-240, October.
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