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The cyclical nature of Consumer Sentiments Indices in the US and UK

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  • Easaw, Joshy
  • Ghoshray, Atanu

Abstract

The present paper investigates the cyclical nature of Consumer Sentiments Indices (CSIs) for the US and UK. Using Threshold Autoregressive (TAR) models the empirical analysis indicates that the US CSI is mean reverting but adjusts asymmetrically and downwardly rigid.

Suggested Citation

  • Easaw, Joshy & Ghoshray, Atanu, 2008. "The cyclical nature of Consumer Sentiments Indices in the US and UK," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(5), pages 1994-1998, October.
    • Handle: RePEc:eee:soceco:v:37:y:2008:i:5:p:1994-1998
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    References listed on IDEAS

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    1. Easaw, Joshy Z. & Garratt, Dean & Heravi, Saeed M., 2005. "Does consumer sentiment accurately forecast UK household consumption? Are there any comparisons to be made with the US?," Journal of Macroeconomics, Elsevier, vol. 27(3), pages 517-532, September.
    2. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-236, April.
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    5. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
    6. Speight, A E H & McMillan, D G, 1998. "Testing for Asymmetries in UK Macroeconomic Time Series," Scottish Journal of Political Economy, Scottish Economic Society, vol. 45(2), pages 158-170, May.
    7. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
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    Cited by:

    1. Hela Namouri & Fredj Jawadi & Zied Ftiti & Néjib Hachicha, 2018. "Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification," Applied Economics, Taylor & Francis Journals, vol. 50(5), pages 559-573, January.

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