Business cycle fluctuations and excess sensitivity of private consumption

Gert Peersman () and Lorenzo Pozzi

Bank of England working papers from Bank of England

Abstract: We investigate whether business cycle fluctuations affect the degree of excess sensitivity of private consumption growth to disposable income growth. Using multivariate state space methods and quarterly US data for the period 1965-2000 we find that excess sensitivity is significantly higher during recessions.

Date: 2007-11
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Related works:
Journal Article: Business Cycle Fluctuations and Excess Sensitivity of Private Consumption (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:335

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