Arbeitspapier
Financial Crisis and Sticky Expectations
We utilize the Kalman filter and instrumental variable methods to estimate consumption growth persistence for the U.S. Results show that prior to the financial crisis, the stickiness parameter beta was around 0.7. However, when the sample is extended until 2009.Q1, the estimates of beta declined to around 0.5. Extending the sample beyond 2009.Q1 show mild increase in beta. Our findings imply that during the crisis consumers' attentiveness to aggregate information has slightly increased, thereby reducing the persistence of aggregate consumption growth.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Working Paper Series ; No. 2013/05
- Classification
-
Wirtschaft
- Subject
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financial crisis
Kalman filter
sticky expectations
- Event
-
Geistige Schöpfung
- (who)
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Kumar, Saten
Owen, Barrett
- Event
-
Veröffentlichung
- (who)
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Auckland University of Technology (AUT), Faculty of Business, Economics and Law
- (where)
-
Auckland
- (when)
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2013
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kumar, Saten
- Owen, Barrett
- Auckland University of Technology (AUT), Faculty of Business, Economics and Law
Time of origin
- 2013
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