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Mean-reverting behavior of consumption-income ratio in OECD countries: evidence from SURADF panel unit root tests

Author

Listed:
  • Shu-Yi Liao

    (Department of Applied Economics, National Chung Hsing University, Taiwan)

  • Mao-Lung Huang

    (Department of Applied Economics, National Chung Hsing University, Taiwan)

  • Lan-Hsun Wang

    (Bachelor''''s Degree Program of Hotel Management, Tainan University of Technology, Taiwan)

Abstract

This paper examines the existence of the mean-reverting behavior of the consumption-income ratio from a panel of 24 OECD countries through the application of the series-specific SURADF panel unit root test. The results show that the consumption-income ratios in 22 OECD countries exhibit mean-reverting behavior. Furthermore, the half-life of the consumption-income ratio for these 22 OECD countries is between 0.28 to 3.48 years. This implies that policy shocks in industrialized economies are not likely to have permanent effects on the consumption-income ratio.

Suggested Citation

  • Shu-Yi Liao & Mao-Lung Huang & Lan-Hsun Wang, 2011. "Mean-reverting behavior of consumption-income ratio in OECD countries: evidence from SURADF panel unit root tests," Economics Bulletin, AccessEcon, vol. 31(1), pages 679-686.
    • Handle: RePEc:ebl:ecbull:eb-10-00120
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    References listed on IDEAS

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    1. Romero-Ávila, Diego, 2009. "Are OECD consumption-income ratios stationary after all?," Economic Modelling, Elsevier, vol. 26(1), pages 107-117, January.
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    Cited by:

    1. Sakiru Adebola Solarin & Muhammad Shahbaz & Chris Stewart, 2018. "Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks," Applied Economics, Taylor & Francis Journals, vol. 50(38), pages 4122-4136, August.
    2. Shu‐Yi Liao & Lan‐Hsun Wang & Mao‐Lung Huang, 2019. "Does More Consumption Promote Real GDP Growth?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(3), pages 384-403, July.
    3. Żelazowski Konrad, 2019. "Price Convergence in the Regional Housing Markets in Poland," Real Estate Management and Valuation, Sciendo, vol. 27(2), pages 44-52, June.
    4. Sakiru Adebola SOLARIN, 2017. "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 109-123, June.

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    More about this item

    Keywords

    Mean reversion; Consumption-income ratio; SURADF; Half-life;
    All these keywords.

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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