Asymmetric responses of consumer spending to energy prices : a threshold VAR approach

Knotek II, Edward S. and Zaman, Saeed (2021) Asymmetric responses of consumer spending to energy prices : a threshold VAR approach. Energy Economics, 95. 105127. ISSN 0140-9883 (https://doi.org/10.1016/j.eneco.2021.105127)

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Abstract

We document asymmetric responses of consumer spending to energy price shocks: using a threshold vector autoregressive model estimated with Bayesian methods on U.S. data with high and low real energy inflation regimes, positive energy price shocks have a greater negative effect on consumption compared with the increase in consumption that arises from negative energy price shocks. For large shocks, the cumulative consumption responses are three to five times greater for positive than negative shocks. In disaggregated spending data, the asymmetric responses are strongest for durable goods consumption, but asymmetries are also present in the responses of nondurables and services consumption.

  • Item type:Article
    ID code:78202
    Dates:
    Date
    Event
    31 March 2021
    Published
    23 January 2021
    Published Online
    15 January 2021
    Accepted
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:19 Oct 2021 10:35
    Last modified:11 Nov 2024 13:12
    URI:https://strathprints.strath.ac.uk/id/eprint/78202
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