An empirical analysis of consumption and current account in an intertemporal stochastic model

ÖZBEK L., HACIOĞLU V., Koc U.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.54, sa.10, ss.3990-4009, 2025 (SCI-Expanded, Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 54 Sayı: 10
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1080/03610918.2024.2369817
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Business Source Elite, Business Source Premier, CAB Abstracts, Compendex, Computer & Applied Sciences, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.3990-4009
  • Anahtar Kelimeler: Consumption, Dynamic stochastic general equilibrium models, Extended kalman filter, Permanent income hypothesis
  • İstanbul Üniversitesi Adresli: Evet

Özet

This study employs a non-linear state space model and applies Extended Kalman Filter to analyze the effects of shocks to output, investment and government consumption for the US economy within a stochastic intertemporal current account framework for the particular period 1989Q2-2019Q4. It is shown that consumption and current account dynamics are successfully explained and the real interest rate, which is needed to rationalize the consumption and income relationship, is found to be fairly reasonable. The parameter estimates of the macroeconomic variables in the model indicate high accuracy of forecast according to the MAPE criteria for model evaluation. The intertemporal substitution and compensation effects allow aggregate consumption function to absorb exogenous shocks and reflect the smooth transition of the economy to the reestablishment of equilibrium position.