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What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries

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Author Info
Roberto Golinelli () (University of Bologna, Department of Economics)
Giuseppe Parigi () (Banca d'Italia)

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Abstract

The paper examines the evolution of consumer confidence indices in Australia, Canada, France, Germany, Italy, Japan, the United Kingdom and the United States of America since the 1970s, by modelling them in a multivariate framework of common macroeconomic variables for each country. Results suggest that: (a) the main economic determinants of consumer confidence cannot be summarized only on the basis of some macroeconomic variables; (b) consumer confidence indices have some ability to forecast economic activity, provided that both their coincident nature is taken into account and that a number of data-coherent parameter restrictions are imposed. A number of analyses (both insample and out-of-sample) are devoted to assessing the robustness of previous findings.

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Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 484.

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Date of creation: Sep 2003
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Handle: RePEc:bdi:wptemi:td_484_03

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Related research
Keywords: consumer confidence determinants; GDP indicator; in-sample and out-of-sample forecasting ability;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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