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Stochastic properties of the consumption-income ratios in central and eastern European countries

Author

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  • Giray Gozgor

    (Dogus University, International Trade and Business, Kadikoy-Istanbul, Turkey)

Abstract

This paper aims to investigate stochastic properties of the consumption-income ratios in eleven central and eastern European (CEE) countries: Bulgaria, Croatia, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia, and Slovenia. The heterogeneous panel unit root tests are used to account for cross-sectional dependence and the Modified Augmented Dickey-Fuller unit root test over the period March 1997 – September 2012. The half-lives are also calculated as to find the strong mean-reversion in the consumption income ratio for nine of eleven CEE economies; an the exceptions are Croatia and Slovenia. In other words, empirical findings provide signficant support for the existence of hypothess that the consumption-income ratio is a mean reversion. Accordingly, the policy implicatons have permanent effects on the consumption of households only in Croatia and Slovenia.Classification-JEL: E21, C23, C22

Suggested Citation

  • Giray Gozgor, 2013. "Stochastic properties of the consumption-income ratios in central and eastern European countries," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 31(2), pages 193-207.
    • Handle: RePEc:rfe:zbefri:v:31:y:2013:i:2:p:193-207
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    References listed on IDEAS

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    6. László Mátyás & Patrick Sevestre (ed.), 2008. "The Econometrics of Panel Data," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75892-1, July-Dece.
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    Cited by:

    1. 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

    The consumption-income ratio; Central and eastern European economies; Panel unit root tests; Cross-sectional dependence; Half-life;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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