Vortrag
Forecasting Private Consumption by Consumer Surveys

Christian Dreger, Konstantin A. Kholodilin

Recent Developments in Macroeconometrics : 12th IWH-CIREQ Macroeconometric Workshop
Halle a. d. Saale, 13.12.2011 - 14.12.2011

Beitrag | PDF 166 KB

Abstract:
Survey-based indicators are widely seen as leading indicators for economic activity. As such the consumer confidence might be informative for the future path of private consumption. Although the indicators receive high attention in the media, their forecasting power often appears to be very limited. This paper takes a fresh look on the data that serve as a basis for the consumer confidence indicator reported by the EU Commission for the Euro area. Different pooling methods are applied to exploit the sur-vey information. Forecasts are based on Mixed Data Sampling (MIDAS) and bridge equations. While the CCI does not outperform the autoregressive benchmark, the new indicators are able to raise the forecasting performance. The best performing indicator should be built upon pre-selection methods. Data-driven aggregation methods should be preferred to determine the weights of the individual ingredients.

Abstract

Survey-based indicators are widely seen as leading indicators for economic activity. As such the consumer confidence might be informative for the future path of private consumption. Although the indicators receive high attention in the media, their forecasting power often appears to be very limited. This paper takes a fresh look on the data that serve as a basis for the consumer confidence indicator reported by the EU Commission for the Euro area. Different pooling methods are applied to exploit the sur-vey information. Forecasts are based on Mixed Data Sampling (MIDAS) and bridge equations. While the CCI does not outperform the autoregressive benchmark, the new indicators are able to raise the forecasting performance. The best performing indicator should be built upon pre-selection methods. Data-driven aggregation methods should be preferred to determine the weights of the individual ingredients.

Konstantin A. Kholodilin

Wissenschaftlicher Mitarbeiter in der Abteilung Makroökonomie

Themen: Konjunktur

JEL-Classification: E21;C22
Keywords: Consumer confidence, consumption, nowcasting, mixed frequency data
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