The Predictive Power of the Index of Consumer Sentiment
The Predictive Power of the Index of Consumer Sentiment
复制标题
消费者信心指数的预测能力
DOI：
--
复制
发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Michael C. Lovell
中科院分区：
文献类型：
--
作者：
Michael C. Lovell
密歇根大学调查研究中心每月发布的消费者信心指数（ICS）在金融媒体上大张旗鼓，尤其是在经济不确定时期。然而，传统观点似乎认为，尽管该指数本身具有相当大的预测能力，但当与其他现成的经济变量结合使用时，其边际值相当小。例如，Christopher Carroll， Jeffrey Fuhrer和David Wilcox得出结论：“消费者情绪确实可以预测未来家庭支出的变化....此外，至少相对于其他一些支出增长指标而言，市场情绪可能有一些（尽管可能不是很多）增量预测能力。(1)另一方面，John Matsusaka和Argia Sbordone发现了ICS和GDP之间在质量上显著的因果关系的证据：他们估计GDP的变化中有13%到26%可以归因于消费者情绪的变化。(2)本文评估了ICS的预测能力，具体解决了两个问题。首先，该指数（无论是单独还是与其他指标变量结合使用）是否能增强对衰退和复苏的预测？第二，无论是单独还是与其他经济指标结合，该指数是否有助于预测个人消费支出？考虑到最近几个月国际收支指数的暴跌，第一个问题尤其及时。要回答这个问题，首先有必要精确地、定量地定义衰退和复苏的含义，然后将ICS和其他指标变量转化为衰退信号，最后评估该信号作为衰退预测器的准确性。下一节总结了用于执行这三个步骤的过程。然后将此程序应用于一组指标变量的季度值，这些变量包括ICS以及长期和短期利率之间的息差、综合股票市场指数和领先指标指数。这一过程也适用于一个模型，该模型根据季度第一季度或前两个月的数据对这些指标变量产生当前季度的估计，以评估对衰退和复苏的高频预测的准确性。最后，探讨了月度指标数据对个人消费支出的预测价值。提出这个问题的原因是，在公布相应的个人消费支出的每月数值之前，已经有了每月的综合消费指数和其他指标变量的数值。准确而及时地预测个人消费支出及其组成部分将有助于预测衰退和复苏时期。预测衰退的可能性衰退的定义衰退的一个普遍定义是实际国内生产总值连续两个或两个以上季度下降。(3)然而，这一定义仅大致符合国家经济研究局（NBER）维持的标准参考周期年表。美国国家经济研究局（NBER）认定的衰退季度与实际GDP下降的季度大致重合，但两者的对应关系并不完美。经济衰退的一个更技术性的定义，与国家经济研究局的年表更接近，是指连续两个或两个以上季度，当前、前一个和后一个季度GDP增长率的加权平均值为负。特别地，让[y.sub。t]表示第t - 1季度至第t季度的实际GDP增长率，令(4)(1)[[bar]y.下标。[T] = 0.25[y。T-1 + 0.50[y.sub。T + 0.25[y.sub.t+1]。根据平均增长率标准，如果第1季度是连续两个或两个以上季度中第一个季度出现衰退，那么该季度就被称为第1季度开始衰退。．．．
THE MONTHLY RELEASE of the Index of Consumer Sentiment (ICS) by the Survey Research Center of the University of Michigan is featured in the financial press with much fanfare, especially during periods of economic uncertainty. Yet the conventional wisdom appears to be that although the index by itself has considerable predictive power, when used in conjunction with other readily available economic variables its marginal value is quite small. For example, Christopher Carroll, Jeffrey Fuhrer, and David Wilcox conclude that "consumer sentiment does indeed forecast future changes in household spending.... Further, sentiment likely has some (though probably not a great deal) of incremental predictive power relative to at least some other indicators for the growth of spending."(1) On the other hand, John Matsusaka and Argia Sbordone find evidence of a qualitatively significant causal relationship between the ICS and GDP: they estimate that between 13 and 26 percent of variations in GDP can be attributed to variations in consumer sentiment.(2) This paper assesses the predictive power of the ICS, addressing two questions in particular. First, does the index, either alone or in conjunction with other indicator variables, sharpen predictions of recession and recovery? Second, does the index, either alone or in conjunction with other economic indicators, help to predict personal consumption expenditure? The first question is especially timely in view of the plunge in the ICS in recent months. To answer this question, it is necessary first to define precisely and in quantitative terms what is meant by recession and what is meant by recovery, next to translate the ICS and other indicator variables into a recession signal, and finally to evaluate the accuracy of that signal as a predictor of recession. The next section summarizes the procedure used to carry out these three steps. This procedure is then applied to quarterly values of a set of indicator variables that includes the ICS as well as the spread between long- and short-term interest rates, a composite stock market index, and an index of leading indicators. This procedure is also applied to a model that generates current-quarter estimates of these indicator variables from data for the first, or first two, months of the quarter, to assess the accuracy of high-frequency predictions of recession and recovery. Finally, the value of monthly indicator data for forecasting personal consumption expenditure is investigated. This question is motivated by the fact that monthly values of the ICS as well as of other indicator variables are available before the corresponding monthly values of personal consumption expenditure are released. An accurate and timely forecast of personal consumption expenditure and its components would be helpful in predicting periods of recession and recovery. Predicting the Probability of Recession Definition of Recession A popular definition of recession is the occurrence of two or more successive quarters of decline in real GDP.(3) This definition, however, corresponds only approximately to the standard reference cycle chronology maintained by the National Bureau of Economic Research (NBER). Recession quarters as identified by the NBER coincide roughly with quarters in which real GDP declines, but the correspondence is not perfect. A slightly more technical definition of recession that corresponds more closely with the NBER chronology is two or more successive quarters in which a weighted average of the current and immediately preceding and following quarterly GDP growth rates is negative. In particular, let [y.sub.t] denote the rate of growth of real GDP from quarter t - 1 to t, and let(4) (1) [[bar]y.sub.t] = 0.25[y.sub.t-1] + 0.50[y.sub.t] + 0.25[y.sub.t+1]. According to the average growth rate criterion, a recession is said to begin in quarter t if that quarter is the first of two or more successive quarters for which [[bar]y. …