Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/242519 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Economics Working Paper Series No. 2013/05
Verlag: 
Auckland University of Technology (AUT), Faculty of Business, Economics and Law, Auckland
Zusammenfassung: 
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.
Schlagwörter: 
financial crisis
Kalman filter
sticky expectations
JEL: 
C5
E2
Dokumentart: 
Working Paper

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