Consumption smoothing across seven countries: A time series analysis

Arbeitspapier

With representative agents maximizing their expected Xife time Utility, it can be shown under certain functional form assumptions that consumption follows a random walk and should be cointegrated across countries, because in an optimal risk pooling arrangement agents smooth consumptions with respect to erratic income movements. These implications are analyzed for the G-7-countries using spectral based and coIntegration techniques. Also the contemporaneous and causal feedback and a factor analytical model are estimated for the first differences of the consumption series. The results indicate little comovement of consumption across countries for annual data from 1950 to 1985.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeiträge - Serie II ; No. 126

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fitzenberger, Bernd
• Event: Veröffentlichung
• (who): Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
• (where): Konstanz
• (when): 1991

Further information

• Handle: http://hdl.handle.net/10419/101668
• Last update: 10.03.2025, 11:43 AM CET