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Time Series Estimates of the Italian Consumer Confidence Indicator

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

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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File URL: http://mpra.ub.uni-muenchen.de/28395/1/MPRA_paper_28395.pdf
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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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  1. 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.
  2. Saikkonen, Pentti & Lütkepohl, Helmut, 2001. "Testing for the cointegrating rank of a VAR process with structural shifts," SFB 373 Discussion Papers 1998,82, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. 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.
  4. Golinelli Roberto & Parigi Giuseppe, 2005. "Le famiglie italiane e l'introduzione dell'euro: storia di uno shock annunciato," Politica economica - Journal of Economic Policy (PEJEP), Società editrice il Mulino, issue 2, pages 201-226.
  5. 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.
  6. Marco Malgarini & Patrizia Margani, 2007. "Psychology, consumer sentiment and household expenditures," Applied Economics, Taylor & Francis Journals, vol. 39(13), pages 1719-1729.
  7. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
  8. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, 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. Dion, David Pascal, 2006. "Does Consumer Confidence Forecast Household Spending? The Euro Area Case," MPRA Paper 911, University Library of Munich, Germany.
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