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Time Series Estimates of the Italian Consumer Confidence Indicator

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  • Paradiso, Antonio
  • Rao, B. Bhaskara
  • Margani, Patrizia

Abstract

This work shows that Italian consumer confidence indicator (CCI) is non-stationary and, therefore, can be estimated with the time series methods. It is found that a long-run relationship exists between CCI, short-term interest rate, industrial production index and the difference between perceived and measured inflation. The use of time series methods to estimate CCI for Italy is a novelty in the literature.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 28395.

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Date of creation: 15 Jan 2011
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Handle: RePEc:pra:mprapa:28395

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Keywords: Consumer confidence indicator; Short-term interest rate; Perceived rate of inflation; Cointegration.;

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  1. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
  2. Christian Dreger & Konstantin Arkadievich Kholodilin, 2013. "Forecasting Private Consumption by Consumer Surveys," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(1), pages 10-18, 01.
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  4. Dion, David Pascal, 2006. "Does Consumer Confidence Forecast Household Spending? The Euro Area Case," MPRA Paper 911, University Library of Munich, Germany.
  5. Saikkonen, Pentti & L tkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(03), pages 373-406, June.
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  7. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
  8. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  9. Praet, Peter & Vuchelen, Jef, 1989. "The contribution of consumer confidence indexes in forecasting the effects of oil prices on private consumption," International Journal of Forecasting, Elsevier, vol. 5(3), pages 393-397.
  10. Marco Malgarini & Patrizia Margani, 2007. "Psychology, consumer sentiment and household expenditures," Applied Economics, Taylor & Francis Journals, vol. 39(13), pages 1719-1729.
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Cited by:
  1. Gagea Mariana, 2012. "The Contribution Of Business Confidence Indicators In Short-Term Forecasting Of Economic Development," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 617-623, July.

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