, Volume 22, Issue 2, pp 205-231

Seasonal cointegration analysis of German consumption function

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Abstract

The main purpose of this paper is to investigate the West-German consumption process depending on wealth and income with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern of the series. The vector autoregressive models are the basis of a dynamic analysis by impulse response functions where the asymptotic distributions of the estimators are given. In the empirical part of the paper evidence is found for seasonal and nonseasonal cointegration relations among the variables. The response functions of consumption and income show a strong influence of wealth innovations. Moreover, income and consumption reactions present outstanding seasonal pattern.

Main parts of the paper were written while the author was with the Deutsche Bundesbank. An earlier version of the paper was presented at the ESEM 94 in Maastricht as well as at the statistic and econometric seminar of the Humboldt-University Berlin. The author is grateful to H.-J. Hansen, H. Herwartz, M. Scharnagl, and two anonymous referees for helpful comments. The usual disclaimer applies.