Consumption and credit constraints: International evidence

• 成果类型: Article; Proceedings Paper
• 署名作者: Bacchetta, P; Gerlach, S
• 署名单位: Study Center Gerzensee; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS); University of Lausanne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00042-1
• 发表日期: 1997
• 页码: 207-238
• 关键词: consumption; credit; liquidity constraints; Kalman filter

摘要

If some consumers are liquidity-constrained, aggregate consumption should be 'excessively sensitive' to credit conditions as well as to income. Moreover, the 'excess sensitivity' may vary over time. Using data for the United States, Canada, the United Kingdom, Japan and France, we find a substantial impact of credit aggregates on consumption in all countries considered. Moreover, the borrowing/lending wedge is a significant determinant of consumption in the United States, Canada and Japan. Using extended Kalman filtering techniques, we show that the excess sensitivity varies over time, with a clear tendency to decline in the United States.