Article: article from journal or magazin.
Consumption and Credit Constraints : International Evidence.
Journal of Monetary Economics
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.
Consumption, Credit, Liquidity constraints, Kalman filter
Web of science
Last modification date