Consumer confidence and economic activity: a factor augmented VAR approach

Kilic E., ÇANKAYA S.

Applied Economics, cilt.48, sa.32, ss.3062-3080, 2016 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 48 Sayı: 32
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1080/00036846.2015.1133902
  • Dergi Adı: Applied Economics
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.3062-3080
  • Anahtar Kelimeler: Consumer confidence index, factor-augmented vector autoregressive model, psychological factors, economic activity, C32, E32, O51
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

This study aims to analyse the effects of the consumer confidence on economic activity for the US market. We use the empirical factor-augmented vector autoregression (FAVAR) method, which enables us to incorporate a wide range of economic activity factors into the analysis. The consumer confidence index (CCI) is chosen as the principal variable that is presumed to represent the degree of optimism on the state of economic activity. The results show that consumer confidence and economic activity are strongly correlated for manufacturing-related factors, such as industrial production and inventories. We also observe strong relation among CCI and personal consumption expenditures, as well as housing market variables.