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A spectral analysis of the cross-country consumption correlation puzzle

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  • Pakko, Michael R.

Abstract

Dynamic general equilibrium models predict high cross-country consumption correlations, whereas the data show that output correlations tend to be higher. Spectral decomposition reveals that this ranking varies across frequency bands, with consumption correlations often exceeding output correlations at higher frequencies.
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  • Pakko, Michael R., 2004. "A spectral analysis of the cross-country consumption correlation puzzle," Economics Letters, Elsevier, vol. 84(3), pages 341-347, September.
    • Handle: RePEc:eee:ecolet:v:84:y:2004:i:3:p:341-347
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