Forecasting Consumption: The Role of Consumer Confidence in Real Time with Many Predictors
Forecasting Consumption: The Role of Consumer Confidence in Real Time with Many Predictors
复制标题
预测消费：消费者信心在多种预测因素中的实时作用
DOI：
10.1002/jae.2494
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Yongchen Zhao
中科院分区：
文献类型：
--
作者：
K. Lahiri;George Monokroussos;Yongchen Zhao
我们研究了消费者信心在预测真实的个人消费支出中的作用，并以三种实质性方式对现有文献做出贡献：首先，我们不仅以季度频率重新审视现有的消费和消费者信心实证模型，而且还使用月度数据。第二，除了常用的修订年份外，我们还使用实时数据。第三，我们研究了消费者信心在丰富信息背景下的作用。我们使用动态因子模型和一个大型的、实时的、锯齿状边缘的数据集，在有和没有消费者信心措施的情况下对消费支出进行预测。我们以强有力的方式确立了信心调查在提高消费预测准确性方面的重要作用，主要体现在服务方面。在2007-09年的经济衰退期间，人们发现情绪对总消费的所有组成部分--耐用品、非耐用品和服务--都有更广泛的影响。
We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways: First, we reexamine existing empirical models of consumption and consumer confidence not only at the quarterly frequency, but using monthly data as well. Second, we employ real-time data in addition to commonly used revised vintages. Third, we investigate the role of consumer confidence in a rich information context. We produce forecasts of consumption expenditures with and without consumer confidence measures using a dynamic factor model and a large, real-time, jagged-edge data set. In a robust way, we establish the important role of confidence surveys in improving the accuracy of consumption forecasts, manifesting primarily through the services component. During the recession of 2007-09, sentiment is found to have a more pervasive effect on all components of aggregate consumption - durables, non-durables and services.