The relationship between changes in the Economic Sentiment Indicator and real GDP growth: a time-varying coefficient approach
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 1 ()
Contact details of provider:
Economic Sentiment Indicator; Real GDP Growth; Thin Plate Regression Splines; Time-Varying Coefficient Model;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- Jason Bram & Sydney Ludvigson, 1998. "Does consumer confidence forecast household expenditure? a sentiment index horse race," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Jun, pages 59-78.
- 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.
- John Maindonald, . "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 16(b03).
- 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.
- 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.
- John A. Cotsomitis & Andy C. C. Kwan, 2004. "Can Consumer Confidence Forecast Household Spending? Evidence from the European Commission Business and Consumer Surveys," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics _161, Chinese University of Hong Kong, Department of Economics.
- 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.
- Christopher D. Carroll & Jeffery C. Fuhrer & David W. Wilcox, 1994. "RATS code for Does Consumer Sentiment Forecast Household Spending? If So, Why?," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles 49, Quantitative Macroeconomics & Real Business Cycles.
- repec:ebl:ecbull:v:12:y:2007:i:16:p:1-9 is not listed on IDEAS
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.