International evidence on sticky consumption growth. Working paper

This paper estimates the degree of ‘stickiness ’ in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of autocorrelation, with a stickiness parameter of about 0.7 on average across countries. The sticky-consumption-growth model outperforms the random walk model of Hall (1978), and typically fits the data better than the popular Campbell and Mankiw (1989) model, though in a few countries the sticky-consumption-growth and Campbell–Mankiw models work about equally well