The determinants of the U.S. consumer sentiment: Linear and nonlinear models
| Autor: | Elie Bouri, Marwane El Alaoui, Nehme Azoury |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
media_common.quotation_subject
Personal income C30 Random Matrix Theory lcsh:Finance lcsh:HG1-9999 0502 economics and business U.S. consumer sentiment Economics Econometrics ddc:330 financial markets I31 050207 economics A12 Student loan media_common G17 050208 finance Switching Regime Regression 05 social sciences Financial market Linear model consumer perception cross-correlation Gradient Descent Algorithm Unemployment Predictive power Stock market Consumer confidence index Finance G40 |
| Zdroj: | International Journal of Financial Studies Volume 8 Issue 3 International Journal of Financial Studies, Vol 8, Iss 38, p 38 (2020) |
| Popis: | We examined the determinants of the U.S. consumer sentiment by applying linear and nonlinear models. The data are monthly from 2009 to 2019, covering a large set of financial and nonfinancial variables related to the stock market, personal income, confidence, education, environment, sustainability, and innovation freedom. We show that more than 8.3% of the total of eigenvalues deviate from the Random Matrix Theory (RMT) and might contain pertinent information. Results from linear models show that variables related to the stock market, confidence, personal income, and unemployment explain the U.S. consumer sentiment. To capture nonlinearity, we applied the switching regime model and showed a switch towards a more positive sentiment regarding energy efficiency, unemployment rate, student loan, sustainability, and business confidence. We additionally applied the Gradient Descent Algorithm to compare the errors obtained in linear and nonlinear models, and the results imply a better model with a high predictive power. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|