Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/184452 
Year of Publication: 
2017
Citation: 
[Journal:] Comparative Economic Research. Central and Eastern Europe [ISSN:] 2082-6737 [Volume:] 20 [Issue:] 4 [Publisher:] De Gruyter [Place:] Warsaw [Year:] 2017 [Pages:] 125-142
Publisher: 
De Gruyter, Warsaw
Abstract: 
This paper analyses the leading characteristics of the Consumer Confidence Index (CCI) with respect to stock market returns for 11 New EU Member States. It proposes novel CCI weights by minimizing mean squared errors from regression forecasting equations, using CCI lags as regressors. With regards to the obtained "optimal" weights, the examined countries are grouped into micro- and macro-oriented clusters. A strong shift is found in the weights due to the recent recession. The micro aspects (reflecting the wealth effect) severely lose their importance in the crisis, while the consumers' macroeconomic sentiments grow in significance and constitute a separate transmission channel.
Subjects: 
consumer confidence
business and consumer surveys
stock market
numerical optimization
JEL: 
C50
D53
E32
G01
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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