Myopia, liquidity constraints and private consumption: the case of Cote d’Ivoire

Figures & data

Table 1. Descriptive statistics and correlation matrix

Variables	logC	logGDP	r
Panel A: Summary statistics
Mean	29.404	29.828	−1.392
Median	29.338	29.774	0.422
Maximum	30.158	30.481	7.805
Minimum	28.676	29.167	−22.581
Std. dev.	0.309	0.278	6.205
Skewness	0.057	−0.124	−1.684
Kurtosis	3.182	3.263	6.142
Jarque-Bera	0.090	0.258	41.568
Probability	0.955	0.878	0.000
Panel B: Correlation matrix
logC	1.000
logGDP	0.985*	1.000
r	0.309*	0.285**	1.000

C = Household real final consumption, GDP = real GDP, r = real interest rate on deposits. The asterisks * and ** denote statistical significance at the 5% and 10% levels, respectively.

Table 2. Results of unit root tests

Series	Level		First difference		Order of integration
	PP	KPSS	PP	KPSS
logC	−2.144	0.093	−5.096*	0.157	I(1)
logGDP	−2.388	0.085	−4.273*	0.139	I(1)
r	−4.331*	0.055	−8.922*	0.074	I(0)

C = Household real final consumption, GDP = real GDP, r = real interest rate on deposits. Critical values for the PP test of Phillips and Perron (1988) are −3.510 and—3.185 at the 5% and 10% levels, respectively. Critical values for the KPSS test of Kwiatkowski et al. (1992) are 0.146 and 0.119 at the 5% and 10% levels, respectively. The null hypothesis of the PP test is that the series involves unit root, thus is not stationary, while that of the KPSS test is that the series is stationary. *(**) denotes the rejection of the null hypothesis at the 5% (10%) level

Table 3. Results of models of Hall (1978) and Campbell and Mankiw (1990)

	Model 1: Δct = α+ λΔyt+ϵt		Model 2: Δct = α+ λΔyt+γrt+ϵt
	Coef.	t-stat.	Coef.	t-stat.
Constant	0.019*	2.576	0.019*	2.547
Δyt	0.629*	4.827	0.632*	4.772
rt	–	–	0.001	0.180

The asterisks * denotes statistical significance at the 5% level. Both models 1 and 2 include a dummy variable taking value 1 for years from 1987 to 1994.

Table 4. Asymmetric consumption model of Shea (1995)

	Δct = α + λ^+Δyt^++ λ^− Δyt^−+ ϵt
	Coef.	t-stat.
Constant	−0.010	−1.364
Δyt^+	1.150*	7.611
Δyt^−	−0.411	−1.488
Symmetry tests
H0: λ^+ = λ^– = 0	59.634 (0.000)
H0: λ^+ = λ^–	19.151 (0.000)

The asterisks * and ** denote statistical significance at the 5% and 10% levels, respectively.

Table 5. Bounds testing for linear and asymmetric cointegration

Model	F-stat.	I(0)	I(1)
Linear ARDL	2.902	3.620	4.160
NARDL with long and short run asymmetry	4.811*	3.100	3.870
NARDL with long run asymmetry	1.946	3.100	3.870
NARDL with short run asymmetry	6.331*	3.620	4.160

I(0) and I(1) represent the 5% lower and upper bounds critical values, respectively. * denotes rejection of the null hypothesis of no cointegration at the 5% level.

Table 6. Long- and short-run symmetry tests

Statistic	NARDL model with LR and SR asymmetry	NARDL model with SR asymmetry
WLR	0.575 (0.455)	–
WSR	8.062* (0.000)	9.137* (0.000)

Note: W_LR refers to the Wald test for the null of long-run symmetry defined by ϕ⁺₂ = ϕ⁻₂. W_SR refers to the Wald test for the null of the short run symmetry defined by γ⁺_2i = γ⁻_2i for all i. p-values are displayed in parentheses. * denotes rejection of the null hypothesis of symmetry at the 5% level.

Table 7. Short run nonlinear error correction estimation results

Regressor	Dependent variabGrowth rate of private consumption
	Coefficient	t-statistic		Prob.
ΔIncome increase	1.170*	9.848		0.000
ΔIncome decrease	−0.280	−1.188		0.241
ECM(−1)	−0.165*	−2.486		0.016
Long run coefficient
Income	1.247*	18.773		0.000
Symmetry tests
H0: λ^+ = λ^– = 0	48.813 [0.000]
H0: λ^+ = λ^–	29.257 [0.000]
Statistics and diagnostics
R^2	0.616	ᵡ^2NORM	1.462 [0.481]
ᵡ^2SC	0.994 [0.318]	ᵡ^2HET	5.910 [0.315]

The short-run equation includes no constant. λ⁺ and λ⁻ represent short-run coefficients on positive and negative income growth, respectively. ᵡ²_SC, ᵡ²_NORM and ᵡ²_HET denote LM tests for serial correlation, normality, and heteroscedasticity, respectively. p-values are displayed in brackets. The asterisks * denotes statistical significance at the 5% level.

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