Heterogeneous impact of consumer confidence on US aggregate consumption over the business cycle
摘要
This paper examines the heterogeneous impact of consumer confidence on aggregate consumption growth over the business cycle. We use a quantile vector autoregressive (QVAR) model to estimate impulse response functions across different consumption-growth quantiles. Our findings reveal substantial variations in low consumption-growth quantiles, indicating stronger impacts of consumer confidence during economic downturns. This result is robust to the inclusion of macroeconomic controls, the pandemic period, placebo tests, and the use of the consumer confidence components. Consequently, our findings suggest that policymakers should account for the heterogeneous effects of consumer sentiment shocks across different phases of the business cycle.