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Shu-Yi Liao, Mao-Lung Huang and Lan-Hsun Wang
''Mean-reverting behavior of consumption-income ratio in OECD countries: evidence from SURADF panel unit root tests''
( 2011, Vol. 31 No.1 )
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.
Keywords: Mean reversion; Consumption-income ratio; SURADF; Half-life
JEL: E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment: General (includes Measurement and Data)
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Feb 23 2010 Manuscript Accepted : Feb 25 2011

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