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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Working Paper Series ; No. 2013/05
- Klassifikation
-
Wirtschaft
- Thema
-
financial crisis
Kalman filter
sticky expectations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kumar, Saten
Owen, Barrett
- Ereignis
-
Veröffentlichung
- (wer)
-
Auckland University of Technology (AUT), Faculty of Business, Economics and Law
- (wo)
-
Auckland
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kumar, Saten
- Owen, Barrett
- Auckland University of Technology (AUT), Faculty of Business, Economics and Law
Entstanden
- 2013
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