Asymmetric responses of consumer spending to energy prices: A threshold VAR approach

Edward Knotek and Saeed Zaman

Energy Economics, 2021, vol. 95, issue C

Abstract: We document asymmetric responses of consumer spending to energy price shocks: using a threshold vector autoregressive model estimated with Bayesian methods on U.S. data with high and low real energy inflation regimes, positive energy price shocks have a greater negative effect on consumption compared with the increase in consumption that arises from negative energy price shocks. For large shocks, the cumulative consumption responses are three to five times greater for positive than negative shocks. In disaggregated spending data, the asymmetric responses are strongest for durable goods consumption, but asymmetries are also present in the responses of nondurables and services consumption.

Keywords: Consumption; Energy prices; Asymmetry; Multivariate threshold models; Nonlinear structural impulse response (search for similar items in EconPapers)
JEL-codes: C11 C32 E21 Q43 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Working Paper: Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000323

DOI: 10.1016/j.eneco.2021.105127

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