This paper estimates the determinants of Italian consumer confidence indicator (CCI) using time series methods. We find there exists a long-run relationship between CCI and its determinants when an important political event 'operation clean hands', captured by a dummy, is considered. Using the asymmetric error correction model (Enders & Siklos, 2001), we find that consumers respond asymmetrically to different types of disequilibrium error under threshold autoregressive (TAR) adjustment specification. These findings are consistent with the psychological bias approach (Bovi, 2009). © 2014 Elsevier B.V.

Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach

PARADISO, Antonio;
2014-01-01

Abstract

This paper estimates the determinants of Italian consumer confidence indicator (CCI) using time series methods. We find there exists a long-run relationship between CCI and its determinants when an important political event 'operation clean hands', captured by a dummy, is considered. Using the asymmetric error correction model (Enders & Siklos, 2001), we find that consumers respond asymmetrically to different types of disequilibrium error under threshold autoregressive (TAR) adjustment specification. These findings are consistent with the psychological bias approach (Bovi, 2009). © 2014 Elsevier B.V.
File in questo prodotto:
File Dimensione Formato  
JEP.pdf

accesso aperto

Tipologia: Altro materiale relativo al prodotto (file audio, video, ecc.)
Licenza: Accesso gratuito (solo visione)
Dimensione 627.2 kB
Formato Adobe PDF
627.2 kB Adobe PDF Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/40590
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 11
  • ???jsp.display-item.citation.isi??? 9
social impact