Linear and nonlinear causality between changes in consumption and consumer attitudes

Abstract

The authors are most grateful to Professor Eric Maskin and an anonymous referee for their substantive comments and suggestions that have significantly improved this manuscript. The second author wishes to acknowledge the financial support of the Australian Research Council. The third author would like to thank Professors Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement.

A new approach for the quantification of qualitative measures of economic expectations

“…Österholm (2011, 2012), Lui et al (2011a,b) and Maag (2009) reached similar conclusions. On the other hand, there is ample evidence that survey expectations provide useful information for economic modelling (Altug and Çakmakli, 2016;Dua, 1992, 1998;Dees and Brinca, 2013;Girardi, 2014;Hansson et al, 2005;JeanBaptiste, 2012;Klein and Özmucur, 2010;Leduc and Sill, 2013;Lemmens et al, 2005;Müller, 2009;Qiao et al, 2009;Schmeling and Schrimpf, 2011).…”

Robust Estimation and Forecasting of the Capital Asset Pricing Model

“…In order to provide more helpful information for decision making, investors could incorporate our approach with other theories, as in behaviourial finance (Lam et al, 2010(Lam et al, , 2012, technical analysis (Wong et al, 2001;Wong and McAleer, 2009), stochastic dominance theory Wong, 2007;Wong and Ma, 2008), portfolio optimization (Bai et al, 2009Egozcue and Wong, 2010). They may obtain more information from markets, as in information company performance Wong, 1991, 1996), other measurement techniques (Leung and Wong, 2008;Qiao, et al, 2009;Ma and Wong, 2010;Bai et al, 2010Bai et al, , 2012, information of some economic/financial phenomena (Broll et al, 2006;Gasbarro et al, 2007Gasbarro et al, , 2012, and incorporate the behaviour of other investors Wong and Chan, 2008;Broll et al, 2010) to lead to better decision making. …”

Let the Data Do the Talking: Empirical Modelling of Survey-Based Expectations by Means of Genetic Programming

“…The link between survey expectations and quantitative data at the aggregate level has been further and widely investigated (Abberger, 2007;Balcombe, 1996;Batchelor, 1981Batchelor, , 1982Batchelor, , 1986Bennett, 1984;Bergström, 1995;Berk, 1999;Białowolski, 2016;Bovi, 2016;Breitung and Schmeling, 2013;Claveria et al, 2007;Franses et al, 2011;Ghonghadze and Lux, 2012;Graff, 2010;Guizzardi and Stacchini, 2015;Lahiri and Teigland, 1987;Martinsen et al, 2014;Mittnik and Zadrozny, 2005;Nolte and Pohlmeier, 2007;Paloviita, 2006;Pesaran, 1985;Robinzonov et al, 2012;Seitz, 1988;Smith and McAleer, 1995;Vermeulen, 2014). These studies use a wide range of econometric techniques, but none of them assesses the relationship between both types of data by means of evolutionary methods.…”