Does Consumer Sentiment Forecast Household Consumption? Evidence from Korean Household Data

• 발행기관: 한국자료분석학회
• 저자명: Sungwon Cho
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.13 No.2, 543~552쪽, 전체 10쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2011.04.30

영문 초록

This paper examines whether consumer sentiment index (CSI) is useful in forecasting household consumption using a composite CSI from the Bank of Korea. Empirical analysis is conducted based on a consumption model proposed by Carroll et al. (1994), where consumption is the function of lagged values of CSI and a vector of other macroeconomic variables. According to the regression results, consumption model augmented by CSI explains 76.4% of the variation in consumption growth, which is 3.6%p higher than the baseline model with only the conventional macroeconomic variables. In the case of service expenditures, the adjusted R² improves by 7.3%p when consumer sentiment is included in the model. Out-of-sample forecasting tests provide further support to this evidence as the forecasting error of the CSI augmented model is lower than that of the baseline model. Empirical results of this paper suggest that consumer sentiment has significant predictive power in forecasting household consumption in Korea, especially for service expenditures.

목차

543-552

2. Analytical Framework

3. Empirical Results

4. Conclusion

Reference

키워드

Consumer sentiment index Household consumption Forecasting