Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach
Antonio Paradiso (),
Saten Kumar and
Patrizia Margani ()
Journal of Economic Psychology, 2014, vol. 43, issue C, 48-63
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).
Keywords: Asymmetric error correction; Long-run; Short-run; Consumer confidence indicator; Psychological motives (search for similar items in EconPapers)
JEL-codes: C22 C32 D12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:joepsy:v:43:y:2014:i:c:p:48-63
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