Cointégration fractionnaire entre la consommation et le revenu

Sandrine Lardic () and Valérie Mignon ()

Economie & Prévision, 2003, vol. 158, issue 2, 123-142

Abstract: The purpose of this paper is to test the existence of a stable long-term relationship between consumption and income. To do so, we use the concept of fractional cointegration rather than the usual concept of cointegration. Standard tests do not reveal any cointegration between consumption and income in the five countries of our sample (France, Germany, United Kingdom, United States and Canada). However, our results suggest that consumption and income are fractionally cointegrated in Germany, France and the United Kingdom. This conclusion shows that consumption and income evolve together in the long term, even if a relatively persistent spread between the two variables can exist in the shorter term.

Keywords: fractional cointegration; ARFIMA process; permanent income (search for similar items in EconPapers)
Date: 2003
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Journal Article: Cointégration fractionnaire entre la consommation et le revenu (2003)
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