Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
884951 | Journal of Economic Psychology | 2014 | 16 Pages |
•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).