Can consumer sentiment and its components forecast Australian GDP and consumption?

Chew Chua and Sarantis Tsiaplias

Journal of Forecasting, 2009, vol. 28, issue 8, 698-711

Abstract: This paper examines whether the disaggregation of consumer sentiment data into its sub-components improves the real-time capacity to forecast GDP and consumption. A Bayesian error correction approach augmented with the consumer sentiment index and permutations of the consumer sentiment sub-indices is used to evaluate forecasting power. The forecasts are benchmarked against both composite forecasts and forecasts from standard error correction models. Using Australian data, we find that consumer sentiment data increase the accuracy of GDP and consumption forecasts, with certain components of consumer sentiment consistently providing better forecasts than aggregate consumer sentiment data. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2009
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Citations: View citations in EconPapers (10)

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Working Paper: Can Consumer Sentiment and Its Components Forecast Australian GDP and Consumption? (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:28:y:2009:i:8:p:698-711

DOI: 10.1002/for.1120

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