Consumption and Credit Constraints: International Evidence

Philippe Bacchetta and Stefan Gerlach ()

Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie

Abstract: If some consumers are liquidity-constrained, aggregate consumption should be `excessively sensitive' to credit conditions as well as to income. Moreover, the `excess sensitivity' may vary over time. Using data for the United States, Canada, the United Kingdom, Japan and France, we find a substantial impact of credit aggregates on consumption in all countries considered. Moreover, the borrowing/lending wedge is a significant determinant of consumption in the United States, Canada and Japan. Using extended Kalman filtering techniques, we show that the excess sensitivity varies over time, with a clear tendency to decline in the United States.

Keywords: consumption; credit; liquidity constraints; Kalman filter (search for similar items in EconPapers)
JEL-codes: D12 E21 E51 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1997-08
References: Add references at CitEc
Citations: View citations in EconPapers (122)

Published in Journal of Monetary Economics, vol.40, No 2, 1997, pp. 207-238

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Consumption and credit constraints: International evidence (1997)
Working Paper: Consumption and Credit Constraints: International evidence (1997)
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:lau:crdeep:9707

Access Statistics for this paper

More papers in Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie Université de Lausanne, Faculté des HEC, Département d’économie, Internef, CH-1015 Lausanne. Contact information at EDIRC.
Bibliographic data for series maintained by Christina Seld ().