Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach |
| |
| Institution: | 1. National Institute of Economic and Social Research, 2, Dean Trench Street, London SW1P 3HE, United Kingdom;2. Queen Mary, University of London, Mile End Road, London E1 4NS, London;1. WZB, Reichpietschufer 50, 10785 Berlin, Germany;2. Department of Economics, Humboldt-Universität zu Berlin, Spandauer Str. 1, 10178 Berlin, Germany;3. Department of Economics, University of Mannheim, L7 3-5, 68131 Mannheim, Germany;1. Faculty of Economics and Business,University of Groningen, PO Box 800, Groningen 9700 AV, The Netherlands;2. University of Tasmania, Australia;3. CAMA, Australia;4. CIRANO, Canada;5. HEC Montréal, Canada |
| |
| Abstract: | This paper estimates the determinants of Italian consumer confidence indicator (CCI) using time series methods. We find there exists a long-run relationship between CCI and its determinants when an important political event ‘operation clean hands’, captured by a dummy, is considered. Using the asymmetric error correction model (Enders & Siklos, 2001), we find that consumers respond asymmetrically to different types of disequilibrium error under threshold autoregressive (TAR) adjustment specification. These findings are consistent with the psychological bias approach (Bovi, 2009). |
| |
| Keywords: | Asymmetric error correction Long-run Short-run Consumer confidence indicator Psychological motives |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
