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The relationship between changes in the Economic Sentiment Indicator and real GDP growth: a time-varying coefficient approach

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  • Luca Zanin

    ()
    (Prometeia)

Abstract

The aim of this paper is to capture the time-varying effects of the relationship between changes in the Economic Sentiment Indicator (ESI) and economic growth. We use penalized regression splines to estimate the different point effects over time. Evidence from six European countries supports the idea that the elasticity of the ESI is time-varying.

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File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I1-P78.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 1 ()
Pages: 837-846

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Handle: RePEc:ebl:ecbull:eb-09-00634

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Keywords: Economic Sentiment Indicator; Real GDP Growth; Thin Plate Regression Splines; Time-Varying Coefficient Model;

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  1. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 18(2), pages 29-50, Spring.
  2. Simon N. Wood, 2003. "Thin plate regression splines," Journal of the Royal Statistical Society Series B, Royal Statistical Society, Royal Statistical Society, vol. 65(1), pages 95-114.
  3. Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper, Federal Reserve Bank of New York 9708, Federal Reserve Bank of New York.
  4. Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, Elsevier, vol. 102(3), pages 161-164, March.
  5. John Maindonald, . "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 16(b03).
  6. Frank Westerhoff, 2008. "Consumer sentiment and business cycles: a Neimark-Sacker bifurcation scenario," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(15), pages 1201-1205.
  7. John A. Cotsomitis & Andy C. C. Kwan, 2006. "Can Consumer Confidence Forecast Household Spending? Evidence from the European COmmission Business and Consumer Surveys," Southern Economic Journal, Southern Economic Association, vol. 72(3), pages 597-610, January.
  8. Carroll, Christopher D & Fuhrer, Jeffrey C & Wilcox, David W, 1994. "Does Consumer Sentiment Forecast Household Spending? If So, Why?," American Economic Review, American Economic Association, American Economic Association, vol. 84(5), pages 1397-1408, December.
  9. repec:ebl:ecbull:v:12:y:2007:i:16:p:1-9 is not listed on IDEAS
  10. Sarah Gelper & Christophe Croux, 2010. "On the Construction of the European Economic Sentiment Indicator," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 72(1), pages 47-62, 02.
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