Advanced Search
MyIDEAS: Login to save this paper or follow this series

Consumer Survey Data and short-term forecasting of households consumption expenditures in Poland

Contents:

Author Info

  • Dudek, Sławomir

Abstract

The main aim of the paper is an investigation whether consumer tendency survey (CTS) data can be useful for short-term forecasting of real private consumption expenditures in Poland. A consumer sentiment index and as well balances for individual questions (from consumer survey conducted by Research Institute for Economic Development of Warsaw School of Economics – RIED WSE) were used in the paper. This is one of the first attempts to model private consumption using RIED consumer survey data or even generally any consumer survey data in Poland. The data are quarterly and covers the 1996-2007 period. An investigation of predictive relationship between CTS results and real private consumption was done by using in-sample and out-of-sample approach. Under the first one unconditional and conditional causality analysis was performed. Unconditional approach is a standard bivariate Granger causality test, where appropriate pairs of variables were tested: real private consumption expenditures and particular CTS indicators. In the case of conditional Granger causality test aside from consumer survey results other macro variables were used, i.e.: lagged dependent variable, real gross disposable income of households, net financial assets of households, retail sales and wage-pension fund. It was realized by doing redundancy tests for survey indices in ARMAX equation specified for consumption expenditures and other variables mentioned above. The research is also extended by assessing whether this predictive in-sample conditional relationship has changed over time by running a series of recursive regressions and doing tests outlined above. The out-of-sample analysis focused on testing recursive one-step forecast errors of restricted (without CTS variables) and unrestricted ARMAX models.

Download Info

If 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.
File URL: http://mpra.ub.uni-muenchen.de/19818/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19818.

as in new window
Length:
Date of creation: Aug 2008
Date of revision:
Handle: RePEc:pra:mprapa:19818

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: consumption; consumer tendency survey; causality testing; comparing forecasts;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Ray Barrell & Professor E. Philip Davis, 2008. "Consumer Confidence Indices And Short-Term Forecasting Of Consumption," NIESR Discussion Papers, National Institute of Economic and Social Research 1779, National Institute of Economic and Social Research.
  2. West, K.D., 1994. "Asymptotic Inference About Predictive Ability," Working papers, Wisconsin Madison - Social Systems 9417, Wisconsin Madison - Social Systems.
  3. Roberto Golinelli & Giuseppe Parigi, 2003. "What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 484, Bank of Italy, Economic Research and International Relations Area.
  4. Campbell, John & Deaton, Angus, 1989. "Why Is Consumption So Smooth?," Scholarly Articles 3221494, Harvard University Department of Economics.
  5. Gábor Vadas, 2001. "Beyond Macro Variables: Consumer Confidence Index and Household Expenditure in Hungary," MNB Background Studies (discontinued), Magyar Nemzeti Bank (the central bank of Hungary) 2001/2, Magyar Nemzeti Bank (the central bank of Hungary).
  6. Acemoglu, Daron & Scott, Andrew, 1994. "Consumer Confidence and Rational Expectations: Are Agents' Beliefs Consistent with the Theory?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 104(422), pages 1-19, January.
  7. Bierens, Herman J., 1987. "Armax model specification testing, with an application to unemployment in the Netherlands," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 161-190, May.
  8. WDA Bryant & JE Macri, 2001. "Does Sentiment Explain Consumption?," Research Papers, Macquarie University, Department of Economics 0107, Macquarie University, Department of Economics.
  9. Croushore, Dean, 2005. "Do consumer-confidence indexes help forecast consumer spending in real time?," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 16(3), pages 435-450, December.
  10. BELTRAN, Helena & DURRE, Alain, 2003. "The determinants of consumer confidence: the case of United States and Belgium," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. Brigitte Desroches & Marc-André Gosselin, 2002. "The Usefulness of Consumer Confidence Indexes in the United States," Working Papers, Bank of Canada 02-22, Bank of Canada.
  12. Yash P. Mehra & Elliot W. Martin, 2003. "Why does consumer sentiment predict household spending?," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Fall, pages 51-67.
  13. Matsusaka, John G & Sbordone, Argia M, 1995. "Consumer Confidence and Economic Fluctuations," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 33(2), pages 296-318, April.
  14. Marco Malgarini & Patrizia Margani, 2005. "Psychology, consumer sentiment and household expenditures: a disaggregated analysis," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) 58, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  15. Fuhrer, Jeffrey C, 1988. "On the Information Content of Consumer Survey Expectations," The Review of Economics and Statistics, MIT Press, vol. 70(1), pages 140-44, February.
  16. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
  17. Joanne Loundes & Rosanna Scutella, 2000. "Consumer Sentiment and Australian Consumer Spending," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp2000n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  18. Eric M. Leeper, 1992. "Consumer attitudes: king for a day," Economic Review, Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta, issue Jul, pages 1-15.
  19. Maurizio Bovi, 2004. "Consumer Surveys and Reality," Macroeconomics, EconWPA 0408012, EconWPA.
  20. Berg Lennart & Bergström Reinhold, 1996. "Consumer Confidence and Consumption in Sweden," Working Paper Series, Uppsala University, Department of Economics 1996:7, Uppsala University, Department of Economics.
  21. Martin Sommer, 2004. "Habits, Sentiment and Predictable Income in the Dynamics of Aggregate Consumption," Macroeconomics, EconWPA 0408004, EconWPA.
  22. Parigi, Giuseppe & Schlitzer, Giuseppe, 1997. "Predicting consumption of Italian households by means of survey indicators," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(2), pages 197-209, June.
  23. 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.
  24. W. Jos Jansen & Niek J. Nahuis, 2004. "Which survey indicators are useful for monitoring consumption? Evidence from European countries," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(2), pages 89-98.
  25. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper, Federal Reserve Bank of Kansas City 99-11, Federal Reserve Bank of Kansas City.
  26. Thomas A. Garrett & Rubén Hernández-Murillo & Michael T. Owyang, 2004. "Does consumer sentiment predict regional consumption?," Working Papers, Federal Reserve Bank of St. Louis 2003-003, Federal Reserve Bank of St. Louis.
  27. Loría, Eduardo & Brito, L., 2004. "Is the Consumer Confidence Index a Sound Predictor of the Private Demand in the United States?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-15, Diciembre.
  28. Djerf, Kari & Takala, Kari, 1997. "Macroeconomy and Consumer Sentiment: Performance of the Finnish Consumer Barometer after Ten Years," Research Discussion Papers, Bank of Finland 20/1997, Bank of Finland.
  29. 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.
  30. Batchelor, Roy & Dua, Pami, 1998. "Improving macro-economic forecasts: The role of consumer confidence," International Journal of Forecasting, Elsevier, Elsevier, vol. 14(1), pages 71-81, March.
  31. 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.
  32. Hardouvelis, Gikas A & Thomakos, Dimitrios D, 2008. "Consumer Confidence and Elections," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6701, C.E.P.R. Discussion Papers.
  33. Jeffrey C. Fuhrer, 1993. "What role does consumer sentiment play in the U.S. macroeconomy?," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue Jan, pages 32-44.
  34. Jeff Dominitz & Charles F. Manski, 2003. "How Should We Measure Consumer Confidence (Sentiment)? Evidence from the Michigan Survey of Consumers," NBER Working Papers 9926, National Bureau of Economic Research, Inc.
  35. Ivan Roberts & John Simon, 2001. "What do Sentiment Surveys Measure?," RBA Research Discussion Papers, Reserve Bank of Australia rdp2001-09, Reserve Bank of Australia.
  36. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(2), pages 254-59, April.
  37. N.J. Nahuis, 2000. "Are Survey Indicators Useful for Monitoring Consumption Growth: Evidence from European Countries," MEB Series (discontinued), Netherlands Central Bank, Monetary and Economic Policy Department 2000-8, Netherlands Central Bank, Monetary and Economic Policy Department.
  38. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 124(1), pages 1-31, January.
  39. E. Philip Howrey, 2001. "The Predictive Power of the Index of Consumer Sentiment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 175-216.
  40. C. Alan Garner, 1991. "Forecasting consumer spending: should economists pay attention to consumer confidence surveys?," Economic Review, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, issue May, pages 57-71.
  41. Nicholas S. Souleles, 2001. "Consumer Sentiment: Its Rationality and Usefulness in Forecasting Expenditure - Evidence from the Michigan Micro Data," NBER Working Papers 8410, National Bureau of Economic Research, Inc.
  42. Khoon Lek Goh, 2003. "Does Consumer Confidence Forecast Consumption Expenditure in New Zealand?," Treasury Working Paper Series 03/22, New Zealand Treasury.
  43. C. Alan Garner, 2002. "Consumer confidence after September 11," Economic Review, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, issue Q II.
  44. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 719-752, October.
  45. Tatiana Fic & Marcin Kolasa & Adam Kot & Karol Murawski & Michal Rubaszek & Magdalena Tarnicka, 2005. "ECMOD Model of the Polish Economy," National Bank of Poland Working Papers, National Bank of Poland, Economic Institute 36, National Bank of Poland, Economic Institute.
  46. Fan, Chengze Simon & Wong, Phoebe, 1998. "Does consumer sentiment forecast household spending?: The Hong Kong case," Economics Letters, Elsevier, Elsevier, vol. 58(1), pages 77-84, January.
  47. Jansen, W. Jos & Nahuis, Niek J., 2003. "The stock market and consumer confidence: European evidence," Economics Letters, Elsevier, Elsevier, vol. 79(1), pages 89-98, April.
  48. repec:nsr:niesrd:304 is not listed on IDEAS
  49. 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, Taylor & Francis Journals, vol. 39(1), pages 1-11.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:19818. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

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.