Forecasting Consumption: the Role of Consumer Confidence in Real Time with many Predictors
研究了消费者信心在预测实际个人消费支出中的作用，使用动态因子模型和实时数据集，发现信心调查能显著提升消费预测准确性，尤其在2007-2009年衰退期间影响更广泛。
Summary We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways. First, we re‐examine existing empirical models of consumption and consumer confidence, not only at the quarterly frequency, but using monthly data as well. Second, we employ real‐time data in addition to commonly used revised vintages. Third, we investigate the role of consumer confidence in a rich information context. We produce forecasts of consumption expenditures with and without consumer confidence measures using a dynamic factor model and a large, real‐time, jagged‐edge dataset. In a robust way, we establish the important role of confidence surveys in improving the accuracy of consumption forecasts, manifesting primarily through the services component. During the recession of 2007–2009, sentiment is found to have a more pervasive effect on all components of aggregate consumption: durables, non‐durables and services. Copyright © 2015 John Wiley & Sons, Ltd.