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

Author

Listed:
  • Luis A. Gil-Alana

    (University of Navarra
    Universidad Francisco de Vitoria)

  • Emmanuel Joel Aikins Abakah

    (University of Cape Coast School of Economics)

  • Nieves Carmona-González

    (Universidad Francisco de Vitoria)

  • Aviral Kumar Tiwari

    (Rajagiri Valley Campus
    South Ural State University)

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.

Suggested Citation

  • Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah & Nieves Carmona-González & Aviral Kumar Tiwari, 2024. "Consumer sentiments across G7 and BRICS economies: Are they related?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 323-344, June.
    • Handle: RePEc:spr:jecfin:v:48:y:2024:i:2:d:10.1007_s12197-023-09657-4
    DOI: 10.1007/s12197-023-09657-4
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    More about this item

    Keywords

    Consumer sentiment; Persistence; Long memory; Fractional integration;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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