Consumer Sentiment and Consumer Spending: Decomposing the Granger Causal Relationship in the Time Domain
Abstract: It is often believed that the consumer sentiment index has predictive power for future consumption levels. While Granger causality tests have already been used to test for this, no attempt has been made yet to quantify the predictive power of the consumer sentiment index over different time horizons. In this paper, we decompose the Granger causality at different time lags, by looking at a sequence of nested prediction models. Since the consumer sentiment index turns out to be cointegrated with real consumption, we resort to Error Correcting Models. Four consumption series are studied, namely total real consumption, real consumption of durables, nondurables and services. Among other findings, we show that the consumer sentiment index Granger causes future consumption with an average time lag of four to five months. Furthermore, it is found that the consumer sentiment index has more incremental predictive power for consumption of services than for consumption of durables or nondurabl
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Applied Economics ; 39 (2006) 1 ; 1-11
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2006
- Creator
- DOI
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10.1080/00036840500427791
- URN
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urn:nbn:de:0168-ssoar-239397
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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14.08.2025, 10:47 AM CEST
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Gelper, Sarah
- Lemmens, Aurélie
- Croux, Christophe
Time of origin
- 2006
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