Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach

Mohd Haniff, NorAzza and Masih, Mansur (2016): Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach.

Abstract

The purpose of this paper is to determine the nature of relationship between consumer sentiment and consumer spending in the Malaysian context. The autoregressive distributed lag (ARDL) methodology is employed to test this relationship, controlling for information in other financial and economic indicators. The stability of the functions is tested by CUSUM and CUSUMQ and no structural break was found. Overall, the results show that the Consumer Sentiment Index does not have any predictive value on consumer spending either in the shortrun or in the long-run, although a cointegrating relationship exists between the variables.

• Item Type: MPRA Paper
• Language: English
• Keywords: consumer sentiment, consumer spending, ARDL, Malaysia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy

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