On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in the USA
利用1953-2014年美国季度数据，通过贝叶斯状态空间模型和MCMC方法检验总消费增长对预期可支配收入增长的过度敏感性是否随时间变化，发现该参数稳定在0.23左右。
This paper investigates whether there is time variation in the excess sensitivity of aggregate consumption growth to anticipated aggregate disposable income growth using quarterly US data over the period 1953-2014. Our empirical framework contains the possibility of stickiness in aggregate consumption growth and takes into account measurement error and time aggregation. Our empirical specification is cast into a Bayesian state-space model and estimated using Markov chain Monte Carlo (MCMC) methods. We use a Bayesian model selection approach to deal with the non-regular test for the null hypothesis of no time variation in the excess sensitivity parameter. Anticipated disposable income growth is calculated by incorporating an instrumental variables estimation approach into our MCMC algorithm. Our results suggest that the excess sensitivity parameter in the USA is stable at around 0.23 over the entire sample period.