Do Consumer Confidence Indexes Help Forecast Consumer Spending in Real Time?
Could a researcher or policy analyst use data reported from surveys of consumer confidence to improve forecasts of consumer spending? This issue has been examined in the literature previously, which reached the conclusion that consumer confidence helped improve the forecasts slightly. But that research was based on final, revised data and thus did not use the data that would have been available to forecasters in real time. This paper remedies that shortcoming, using the Real-Time Data Set for Macroeconomists to analyze the quality of forecasts made with indexes of consumer confidence. The main finding is that the indexes of consumer confidence are not of significant value in forecasting consumer spending. In fact, in some cases, they make the forecasts significantly worse.
|Date of creation:||2004|
|Date of revision:|
|Contact details of provider:|| Postal: Postfach 10 06 02, 60006 Frankfurt|
Phone: 0 69 / 95 66 - 34 55
Fax: 0 69 / 95 66 30 77
Web page: http://www.bundesbank.de/
More information through EDIRC
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.:
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 111-130, November.
- Eric M. Leeper, 1992. "Consumer attitudes: king for a day," Economic Review, Federal Reserve Bank of Atlanta, issue Jul, pages 1-15.
- Easaw, Joshy Z. & Heravi, Saeed M., 2004. "Evaluating consumer sentiments as predictors of UK household consumption behavior: Are they accurate and useful?," International Journal of Forecasting, Elsevier, vol. 20(4), pages 671-681.
- Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
- Jason Bram & Sydney Ludvigson, 1998.
"Does consumer confidence forecast household expenditure? a sentiment index horse race,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Jun, pages 59-78.
- Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York.
- 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.
- Yash P. Mehra & Elliot W. Martin, 2003. "Why does consumer sentiment predict household spending?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 51-67.
- Tom Stark & Dean Croushore, 2001.
"Forecasting with a real-time data set for macroeconomists,"
01-10, Federal Reserve Bank of Philadelphia.
- Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
- Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
- 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 & 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.
- Stark, Tom & Croushore, Dean, 2002. "Reply to the comments on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 563-567, December.
- Tom Stark, 2000. "Does current-quarter information improve quarterly forecasts for the U.S. economy?," Working Papers 00-2, Federal Reserve Bank of Philadelphia.
When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp1:2293. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.