Linear and Nonlinear Time Series Analysis of the Relationship Between the Consumer Confidence Index and Sectoral Confidence Indices

Authors : Özlem Tutumlu, Nesrin Güler

Pages : 155-180

View : 209 | Download : 131

Publication Date : 2025-06-30

Article Type : Research Paper

Abstract :In this study, the relationships between the Consumer Confidence Index, which is one of the subcomponents of the Economic Confidence Index, and the confidence indices of the real sector (manufacturing industry), construction, trade, and services sectors were examined. Monthly data covering the period from January 2011 to January 2024 were used. The stationarity of the series was analyzed using the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests, while structural breaks were identified through the Bai-Perron multiple structural break test. To determine the relationships, the Autoregressive Distributed Lag (ARDL) model was applied for symmetric effects, and the Nonlinear ARDL (NARDL) model was used for asymmetric effects. According to the results, a long-run relationship was found between the Consumer Confidence Index and the sectoral confidence indices. The manufacturing and services sectors exhibited symmetric effects in the short run and asymmetric effects in the long run, whereas the trade sector displayed asymmetric effects in both the short and long run. The construction sector showed symmetric effects in the short run and statistically significant asymmetric effects in the long run. Based on the findings, sectoral changes were observed to have different impacts on consumer confidence.
Keywords : Tüketici Güven Endeksi, Sektörel Güven Endeksleri, ARDL, NARDL

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