Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach

Edward Knotek and Saeed Zaman

No 20-17, Working Papers from Federal Reserve Bank of Cleveland

Abstract: We document asymmetric responses of consumer spending to energy price shocks: Using a multiple-regime threshold vector autoregressive model estimated with Bayesian methods on US data, we find that positive energy price shocks have a larger negative effect on consumption compared with the increase in consumption in response to negative energy price shocks. For large shocks, the cumulative consumption responses are three to five times larger for positive than for negative shocks. Digging into disaggregated spending, we find that the estimated asymmetric responses are strongest for durable goods, but asymmetries are also present in the responses of nondurables and services.

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)
Pages: 46
Date: 2020-06-16
New Economics Papers: this item is included in nep-ene, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.26509/frbc-wp-202017 Full Text (application/pdf)

Related works:
Journal Article: Asymmetric responses of consumer spending to energy prices: A threshold VAR approach (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwq:88169

Ordering information: This working paper can be ordered from

DOI: 10.26509/frbc-wp-202017

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library ().