Arbeitspapier
Cyclical consumption
Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its drivers is essential. We estimate US cyclical consumption using a multivariate Beveridge-Nelson decomposition based on a medium-scale Bayesian vector autoregression. The choice of variables included in the analysis is informed by a general savers-spenders model. We compare the predictive power of our multivariate cyclical consumption variable to that of univariate measures such as the recently introduced cc variable by Atanasov et al. (2020). An informational decomposition points to variables related to incomplete markets (precautionary motives and credit constraints) as the main contributors to cyclical consumption. This is confirmed by a causal analysis that attributes between 20% and 40% of cyclical movements in consumption to uncertainty shocks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2023-064/VI
- Klassifikation
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Business Fluctuations; Cycles
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
cyclical consumption
Beveridge-Nelson decomposition
multivariate information
incomplete markets
uncertainty shocks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Berger, Tino
Pozzi, Lorenzo
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Berger, Tino
- Pozzi, Lorenzo
- Tinbergen Institute
Entstanden
- 2023
Ähnliche Objekte (12)
The Pace of Structural Change, Cyclical Shocks and Unemployment Dynamics
Housing returns and intertemporal substitution in consumption: estimates for industrial economies
Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Welfare Analysis with a Proxy Consumption Measure – Evidence from a Repeated Experiment in Indonesia
The Consumption Discount Rate for the Distant Future (if we do not die out)
Reconciling Consumption Inequality with Income Inequality
Cyclical and Stuctural Variation in Resource Reallocation: Evidence for Europe
SHE can't afford it and HE doesn't want it: The gender gap in the COVID-19 consumption response
Theravada Buddhism and Thai Luxury Fashion Consumption
Eliciting Discount Functions when Baseline Consumption changes over Time
Thought for Food: Understanding Educational Disparities in Food Consumption
Consumption Choices and Earnings Expectations: Empirical Evidence and Structural Estimation
The Pace of Structural Change, Cyclical Shocks and Unemployment Dynamics
Housing returns and intertemporal substitution in consumption: estimates for industrial economies
Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Welfare Analysis with a Proxy Consumption Measure – Evidence from a Repeated Experiment in Indonesia
The Consumption Discount Rate for the Distant Future (if we do not die out)
Reconciling Consumption Inequality with Income Inequality
Cyclical and Stuctural Variation in Resource Reallocation: Evidence for Europe
SHE can't afford it and HE doesn't want it: The gender gap in the COVID-19 consumption response
Theravada Buddhism and Thai Luxury Fashion Consumption
Eliciting Discount Functions when Baseline Consumption changes over Time
Thought for Food: Understanding Educational Disparities in Food Consumption
Consumption Choices and Earnings Expectations: Empirical Evidence and Structural Estimation
The Pace of Structural Change, Cyclical Shocks and Unemployment Dynamics
Housing returns and intertemporal substitution in consumption: estimates for industrial economies
Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Welfare Analysis with a Proxy Consumption Measure – Evidence from a Repeated Experiment in Indonesia
The Consumption Discount Rate for the Distant Future (if we do not die out)
Reconciling Consumption Inequality with Income Inequality
Cyclical and Stuctural Variation in Resource Reallocation: Evidence for Europe
SHE can't afford it and HE doesn't want it: The gender gap in the COVID-19 consumption response
Theravada Buddhism and Thai Luxury Fashion Consumption
Eliciting Discount Functions when Baseline Consumption changes over Time
Thought for Food: Understanding Educational Disparities in Food Consumption