THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL DATA ANALYSIS
研究了15个OECD国家1972-2007年总消费增长的可预测性，发现只有收入增长具有显著预测能力，对宏观消费预测研究有参考价值。
SUMMARY We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation, intertemporal substitution, current income consumption and non‐separabilities between private consumption and both hours worked and government consumption. We estimate this equation for a panel of 15 OECD countries over the period 1972–2007, taking into account parameter heterogeneity, endogeneity and error cross‐sectional dependence using a GMM version of the common correlated effects mean group estimator. Small‐sample properties are demonstrated using Monte Carlo simulations. The estimation results support income growth as the only variable with significant predictive power for aggregate consumption growth. Copyright © 2013 John Wiley & Sons, Ltd.