Assymetric Mean Reversion in the Consumption-Income Ratio: Evidence from OECD economies

Steven Cook

Applied Econometrics and International Development, 2002, vol. 2, issue 2

Abstract: The debate concerning the mean reverting nature of the consumption-income ratio is revisited. The existing literature is extended by allowing for the as yet unconsidered possibility of asymmetric mean reversion in a collection of OECD economies. Using specifically derived finite-sample critical values, it is found that this approach leads to increased detection of mean reversion. However, the most striking feature of the results is the highly significant asymmetric mean reversion exhibited in Australia and Spain, which contrasts strongly with all other economies examined and is indicative of very different underlying consumer and savings behaviour.

JEL-codes: C12 C15 C22 (search for similar items in EconPapers)

Downloads: (external link)
http://www.usc.es/~economet/journals1/aeid/aeid222.pdf
Access restricted to subscribers and Pay Per View access through SSRN. Free on line subscription for universities from low income countries. More information at http://www.usc.es/economet/info.htm

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.usc.es/economet/info.htm

Access Statistics for this article

More articles in Applied Econometrics and International Development from Euro-American Association of Economic Development
Series data maintained by M. Carmen Guisan ().