Can Consumer Sentiment and Its Components Forecast Australian GDP and Consumption?
Download full text from publisher
Other versions of this item:
- Chew Lian Chua & Sarantis Tsiaplias, 2009. "Can consumer sentiment and its components forecast Australian GDP and consumption?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 698-711.
References listed on IDEAS
- Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003.
"The out-of-sample success of term structure models as exchange rate predictors: a step beyond,"
Journal of International Economics,
Elsevier, vol. 60(1), pages 61-83, May.
- Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
- Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
- LeSage, James P, 1991. "Analysis and Development of Leading Indicators Using a Bayesian Turning-Points Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 305-316, July.
- Shoesmith, Gary L., 1995. "Multiple cointegrating vectors, error correction, and forecasting with Litterman's model," International Journal of Forecasting, Elsevier, vol. 11(4), pages 557-567, December.
- 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, vol. 84(5), pages 1397-1408, December.
- Christopher D. Carroll & Jeffrey C. Fuhrer & David W. Wilcox, 1991. "Does consumer sentiment affect household spending? If so why?," Finance and Economics Discussion Series 168, Board of Governors of the Federal Reserve System (U.S.).
- Christopher D. Carroll & Jeffery C. Fuhrer & David W. Wilcox, 1994. "RATS code for Does Consumer Sentiment Forecast Household Spending? If So, Why?," QM&RBC Codes 49, Quantitative Macroeconomics & Real Business Cycles.
- Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Robertson, John C & Tallman, Ellis W, 2001.
"Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 19(3), pages 324-330, July.
- John C. Robertson & Ellis W. Tallman, 1999. "Improving forecasts of the federal funds rate in a policy model," FRB Atlanta Working Paper 99-3, Federal Reserve Bank of Atlanta.
- 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.
- Acemoglu, Daron & Scott, Andrew, 1994.
"Consumer Confidence and Rational Expectations: Are Agents' Beliefs Consistent with the Theory?,"
Royal Economic Society, vol. 104(422), pages 1-19, January.
- Daron Acemoglu & Andrew Scott, 1993. "Consumer Confidence and Rational Expectations: Are Agents Beliefs Consistent with the Theory?," CEP Discussion Papers dp0119, Centre for Economic Performance, LSE.
- Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-968, November.
- Kling, John L, 1987. "Predicting the Turning Points of Business and Economic Time Series," The Journal of Business, University of Chicago Press, vol. 60(2), pages 201-238, April.
- Lin, Jin-Lung & Tsay, Ruey S, 1996. "Co-integration Constraint and Forecasting: An Empirical Examination," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 519-538, Sept.-Oct.
- Litterman, Robert B, 1986.
"Forecasting with Bayesian Vector Autoregressions-Five Years of Experience,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 4(1), pages 25-38, January.
- Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
- Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-1167, July.
- Robert L. Winkler, 1981. "Combining Probability Distributions from Dependent Information Sources," Management Science, INFORMS, vol. 27(4), pages 479-488, April.
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
- Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
- Atsuo Utaka, 2003. "Confidence and the real economy - the Japanese case," Applied Economics, Taylor & Francis Journals, vol. 35(3), pages 337-342.
- Souleles, Nicholas S, 2004. "Expectations, Heterogeneous Forecast Errors, and Consumption: Micro Evidence from the Michigan Consumer Sentiment Surveys," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(1), pages 39-72, February.
- Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
- Chow, Hwee Kwan & Choy, Keen Meng, 2006. "Forecasting the global electronics cycle with leading indicators: A Bayesian VAR approach," International Journal of Forecasting, Elsevier, vol. 22(2), pages 301-315.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 664-671, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nguyen, Viet Hoang & Claus, Edda, 2013. "Good news, bad news, consumer sentiment and consumption behavior," Journal of Economic Psychology, Elsevier, vol. 39(C), pages 426-438.
- Bahram Adrangi & Joseph Macri, 2011. "Consumer Confidence and Aggregate Consumption Expenditures in the United States," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-18, February.
- Atsuo Utaka, 2014. "Consumer Confidence and the Japanese Economy -Comparison of Pre- and Post-Bubble Period-," Economics Bulletin, AccessEcon, vol. 34(2), pages 1165-1173.
More about this item
KeywordsBayesian; Composite forecast; Consumer sentiment; Cointegration.;
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-15 (All new papers)
- NEP-FOR-2008-04-15 (Forecasting)
- NEP-MAC-2008-04-15 (Macroeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iae:iaewps:wp2008n03. 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: (Abbey Treloar). General contact details of provider: http://edirc.repec.org/data/mimelau.html .