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Business Cycle Fluctuations and Excess Sensitivity of Private Consumption
Author(s) -
PEERSMAN GERT,
POZZI LORENZO
Publication year - 2008
Publication title -
economica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.532
H-Index - 65
eISSN - 1468-0335
pISSN - 0013-0427
DOI - 10.1111/j.1468-0335.2007.00624.x
Subject(s) - business cycle , recession , consumption (sociology) , sensitivity (control systems) , economics , private consumption , econometrics , affect (linguistics) , multivariate statistics , monetary economics , statistics , mathematics , macroeconomics , fiscal policy , social science , linguistics , philosophy , electronic engineering , sociology , engineering
We investigate whether business cycle fluctuations affect the degree of excess sensitivity of private consumption growth to disposable income growth. Using multivariate state space methods and quarterly US data for the period 1965–2000, we find that excess sensitivity is significantly higher during recessions.