Stochastic properties of the consumption-income ratios in central and eastern European countries

Giray Gözgör

Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, 2013, vol. 31, issue 2, 193-207

Abstract: This paper aims to investigate stochastic properties of the consumption-income ratios in eleven central and eastern European (CEE) countries: Bulgaria, Croatia, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia, and Slovenia. The heterogeneous panel unit root tests are used to account for cross-sectional dependence and the Modified Augmented Dickey-Fuller unit root test over the period March 1997 – September 2012. The half-lives are also calculated as to find the strong mean-reversion in the consumption income ratio for nine of eleven CEE economies; an the exceptions are Croatia and Slovenia. In other words, empirical findings provide signficant support for the existence of hypothess that the consumption-income ratio is a mean reversion. Accordingly, the policy implicatons have permanent effects on the consumption of households only in Croatia and Slovenia.Classification-JEL: E21, C23, C22

Keywords: The consumption-income ratio; Central and eastern European economies; Panel unit root tests; Cross-sectional dependence; Half-life (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rfe:zbefri:v:31:y:2013:i:2:p:193-207

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