International evidence on sticky consumption growth
Christopher Carroll (),
Jiri Slacalek () and
No 886, Working Paper Series from European Central Bank
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 auto-correlation, 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. JEL Classification: C6, D9, E2
Keywords: Consumption Dynamics; Habit Formation; Sticky Expectations (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cba, nep-mac and nep-opm
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Journal Article: International Evidence on Sticky Consumption Growth (2011)
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:ecb:ecbwps:20080886
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