Munich Personal RePEc Archive

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.

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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.

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