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A spectral analysis of the cross-country consumption correlation puzzle

Michael Pakko

No 2003-023, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Dynamic general equilibrium models predict high cross-country consumption correlations, whereas the data show that output correlations tend to be higher. Spectral decomposition reveals that this ranking varies across frequency bands, with consumption correlations often exceeding output correlations at higher frequencies.

Keywords: Business cycles; Consumption (Economics) (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-dge and nep-ets
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Citations: View citations in EconPapers (29)

Published in Economics Letters, September 2004, 84(3), pp. 341-347

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