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Linear and nonlinear causality between changes in consumption and consumer attitudes

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Author Info

  • Qiao, Zhuo
  • McAleer, Michael
  • Wong, Wing-Keung

Abstract

Adopting both linear and nonlinear Granger causality tests, we find consumer attitude indices of the University of Michigan's surveys are very useful in predicting consumption movements of the United States.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4V70R6M-1/2/24aba4adfdf1bc2cde131b6bba228345
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 102 (2009)
Issue (Month): 3 (March)
Pages: 161-164

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Handle: RePEc:eee:ecolet:v:102:y:2009:i:3:p:161-164

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Consumer sentiment Consumer expectations Consumption growth Nonlinear Granger causality Prediction;

References

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  1. Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York.
  2. Gelper, Sarah & Croux, Christophe, 2007. "Multivariate out-of-sample tests for Granger causality," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3319-3329, April.
  3. Adrian W. Throop, 1992. "Consumer sentiment: its causes and effects," Economic Review, Federal Reserve Bank of San Francisco, pages 35-59.
  4. Huh, Hyeon-seung, 2002. "GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries," Economics Letters, Elsevier, vol. 77(1), pages 93-99, September.
  5. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
  6. Sarah Gelper & Aurelie Lemmens & Christophe Croux, 2007. "Consumer sentiment and consumer spending: decomposing the Granger causal relationship in the time domain," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 1-11.
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Citations

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Cited by:
  1. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
  2. Luca Zanin, 2010. "The relationship between changes in the Economic Sentiment Indicator and real GDP growth: a time-varying coefficient approach," Economics Bulletin, AccessEcon, vol. 30(1), pages 837-846.
  3. Qiao, Zhuo & Chu, Patrick Kuok-Kun, 2014. "Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries," Economic Modelling, Elsevier, vol. 38(C), pages 75-79.
  4. GORMUS Sakir & GUNES, Sevcan, 2010. "Consumer Confidence, Stock Prices And Exchange Rates: The Case Of Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(2).
  5. GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013. "Robust Estimation And Forecasting Of The Capital Asset Pricing Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1350007-1-1.
  6. Bai, Zhidong & Li, Heng & Wong, Wing-Keung & Zhang, Bingzhi, 2011. "Multivariate causality tests with simulation and application," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1063-1071, August.
  7. Giancarlo Bruno, 2014. "Consumer confidence and consumption forecast: a non-parametric approach," Empirica, Springer, vol. 41(1), pages 37-52, February.
  8. Guorui Bian & Michael McAleer & Wing-Keung Wong, 2013. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Tinbergen Institute Discussion Papers 13-036/III, Tinbergen Institute.

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