Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/242519
Authors: 
Kumar, Saten
Owen, Barrett
Year of Publication: 
2013
Series/Report no.: 
Economics Working Paper Series No. 2013/05
Abstract: 
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.
Subjects: 
financial crisis
Kalman filter
sticky expectations
JEL: 
C5
E2
Document Type: 
Working Paper

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