Article ID Journal Published Year Pages File Type
884951 Journal of Economic Psychology 2014 16 Pages PDF
Abstract

•This paper estimates the determinants of Italian consumer confidence indicator.•Consumers respond asymmetrically to disequilibrium error (TAR model).•The speed of adjustments is quite consistent (M-TAR model).•TAR findings are consistent with the psychological bias approach.

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).

Related Topics
Social Sciences and Humanities Business, Management and Accounting Marketing
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