English, Article, Journal or magazine article edition: Determinants of consumption smoothing G. PEERSMAN; L. POZZI

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Bookmark: http://trove.nla.gov.au/version/15314
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Determinants of consumption smoothing
Author
  • G. PEERSMAN
  • L. POZZI
Physical Description
  • preprint
Notes
  • As is generally acknowledged, the failure of the perfect credit markets assumption underlying the permanent income hypothesis may be responsible for low consumption smoothing and observed excess sensitivity of consumption to current income. The economic literature puts forward a number of potential determinants of liquidity constraints. In this paper we investigate the relevance of these determinants by looking at their impact on household consumption smoothing. Applying a Kalman filter to a state-space version of our model, we find that excess sensitivity in the US is higher in recessions and depends positively on government debt and negatively on financial liberalization.
  • Private consumption, liquidity constraints, consumption smoothing, excess sensitivity, Kalman filter, state-space models.
  • RePEc:rug:rugwps:04/​231
Language
  • English
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