International Evidence On Sticky Consumption Growth

Christopher Carroll (), Jiri (Jirka) Slacalek () and Martin Sommer ()
Additional contact information
Martin Sommer: International Monetary Fund, http://martinsommeronline.googlepages.com/

No 2008/09, CFS Working Paper Series from Center for Financial Studies

Abstract: We estimate the degree of ‘stickiness’ in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of autocorrelation, with a stickiness parameter of about 0.7 on average across countries. The sticky-consumption-growth model outperforms the random walk model of Hall (1978), and typically fits the data better than the popular Campbell and Mankiw (1989) model. In several countries, the sticky-consumption-growth and Campbell-Mankiw models work about equally well.

Keywords: Sticky Expectations; Consumption Dynamics; Habit Formation. (search for similar items in EconPapers)
JEL-codes: E21 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-mac
Date: 2008-03-03
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Related works:
Working Paper: International Evidence On Sticky Consumption Growth (2008)
Working Paper: International Evidence on Sticky Consumption Growth (2008)
Working Paper: International evidence on sticky consumption growth (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:cfs:cfswop:wp200809

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