Consumer sentiments across G7 and BRICS economies: Are they related?

Luis Gil-Alana, Emmanuel Abakah, Nieves Carmona-González and Aviral Tiwari
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Nieves Carmona-González: Universidad Francisco de Vitoria

Journal of Economics and Finance, 2024, vol. 48, issue 2, No 4, 323-344

Abstract: Abstract This paper utilizes fractional integration and cointegration techniques to investigate the stochastic properties of the bilateral linkages between the Consumer Sentiment Index (CSI) of eight developed economies, Australia, Canada, France, Germany, Italy, Japan, the UK and the US and five emerging economies comprising Brazil, Russia, India, China and South Africa, for the time period from 15th January 2010 to 15th July 2019. The univariate results support fractional integration with mean reverting behaviour, with many of the series displaying orders of integration in the interval (0, 1), which connotes that shocks to consumer sentiment have significant long-lasting though reverting effects. From the covariate results and testing for cointegration, we found evidence of cointegration for Australia versus Italy, and France versus Italy. For the BRICS, the only evidence of fractional cointegration is found between Russia and India. Some policy implications of the results obtained are also mentioned at the end of the article.

Keywords: Consumer sentiment; Persistence; Long memory; Fractional integration (search for similar items in EconPapers)
JEL-codes: C15 C32 C51 C52 E60 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s12197-023-09657-4

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