Time Series Estimates of the Italian Consumer Confidence Indicator

Paradiso, Antonio and Rao, B. Bhaskara and Margani, Patrizia (2011): Time Series Estimates of the Italian Consumer Confidence Indicator.

Abstract

This work shows that Italian consumer confidence indicator (CCI) is non-stationary and, therefore, can be estimated with the time series methods. It is found that a long-run relationship exists between CCI, short-term interest rate, industrial production index and the difference between perceived and measured inflation. The use of time series methods to estimate CCI for Italy is a novelty in the literature.

• Item Type: MPRA Paper
• Language: English
• Keywords: Consumer confidence indicator, Short-term interest rate, Perceived rate of inflation, Cointegration.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; D - Microeconomics > D1 - Household Behavior and Family Economics > D12 - Consumer Economics: Empirical Analysis; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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