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Does Consumer Confidence Forecast Consumption Expenditure in New Zealand? - WP 03/22

Appendix:  Data and Data Sources

One News Colmar Brunton Poll

Data is available via subscription from Colmar Brunton (www.colmarbrunton.com). Missing data is interpolated by taking the average of the previous and proceeding monthly measures. The monthly series is then converted to a quarterly series by averaging the monthly measures.

Westpac McDermott Miller Consumer Confidence Survey

Data is available from Westpac (www.westpac.co.nz) or from McDermott Miller (www.mcdermottmiller.co.nz). The Overall Index is calculated by averaging the difference in the percentage of positive and negative responses for each of the five questions, and adding 100. The Current Conditions Index is calculated by averaging the difference in the percentage of positive and negative responses to Questions 1 and 5, and adding 100. The Future Conditions Index is calculated by averaging the difference in the percentage of positive and negative responses to Questions 2, 3 and 4, and adding 100.

Consumption

Data for total consumption and its three components (durables, non durables and services) are quarterly, seasonally adjusted in millions of dollars, and expressed in 1995/96 prices. The data come from Statistics New Zealand (series identifier SNCQ.S2RP30GS for total consumption, SNCQ.S2RP30BES for durables consumption, SNCQ.S2RP30AES for non-durables consumption, and SNCQ.S2RP30CES for services consumption).

Wealth

All wealth data comes from the Westpac Household Savings Indicators. The series starts from 1989:4, and the unit is in millions of dollars. Data is available via subscription only from Morningstar (www.morningstar.net.nz).

Labour income

This series was derived using data from Statistics New Zealand, The Treasury, and the Ministry of Social Development. After-tax labour income is defined as wages and salaries less social security contributions and tax plus transfer payments:

LY = (WAGES - ACC - TAXES) + (TRANSFERS)

WAGES is the quarterly wage bill constructed by multiplying the average weekly earnings series (Statistics New Zealand series identifier code is EESQ.SASZ9A) by the total number of wage and salary earners (full-time equivalent adjusted) (Statistics New Zealand series identifier code is HLFQ.SLA3HA), and scaling it into a quarterly series. ACC and TAXES are calculated from the WAGES series based on the official statutory ACC and income tax rates obtained from The Treasury.

TRANSFERS is derived by multiplying the relevant weekly net benefit rates by the estimated number of beneficiaries, and scaling it into a quarterly series. There are three main beneficiary groups in TRANSFERS. The weekly benefit rates are based on the actual main statutory rates obtained from the Ministry of Social Development. The number of beneficiaries are estimated from population and labour market data from Statistics New Zealand.

Interest rate

The interest rate used in this paper is the quarterly average 90-day bank bill yield as at 11am. Data source is the Reserve Bank of New Zealand, and the official series starts from 1985:1. (Data available at www.rbnz.govt.nz/statistics/exandint/index.html).

Unemployment rate

The unemployment rate is the proportion of people in the labour force actively seeking work but not currently employed. Quarterly data are seasonally adjusted in percentage terms. Data source is Statistics New Zealand, and the official series starts from 1985:4. (Statistics New Zealand series identifier code is HLFQ.S1F3S).

Inflation rate

This is the annual percentage change in the quarterly Consumers Price Index, published by Statistics New Zealand. (Statistics New Zealand series identifier code is CPIQ.SE9A).

Stock market index

The stock market index used is the NZSE40 capital index. The data are quarterly averages. The index is calculated and maintained by the New Zealand Stock Exchange (www.nzse.co.nz).

Consumption deflator

This is the implicit price deflator for total private consumption, calculated by dividing the seasonally adjusted current price quarterly series (Statistics New Zealand series identifier code is SNCQ.S2NP30GS) by the equivalent constant price series (Statistics New Zealand series identifier code is SNCQ.S2RP30GS). Data source is Statistics New Zealand, and the official series starts from 1987:2. The consumption deflator was used to deflate all nominal series.

Stationarity tests

Table 8 below presents the unit root tests for the above variables, using the Augmented Dickey Fuller (ADF) procedure. The appropriate lag length for the ADF test was chosen by minimising the Akaike Information Criterion (AIC). All level and log-level variables included an intercept but no trend except for all the consumption variables, real labour income and wealth variables. For the first difference variables, all the chosen specification included an intercept only. All variables are I(1) except for durables consumption and the unemployment rate. However, over a longer time period, there is evidence to suggest that both durables consumption and the unemployment rate are I(1). Based on a priori expectations, the consumer confidence measures are expected to be I(0) because they are expected to be free of trend and seasonality problems. Although the unit root tests suggests that the consumer confidence measures are all I(1), for this paper we assume that they are I(0).

Table 8 – Results of ADF tests
Variable Level Log-level 1st difference
Total Private Consumption -2.741 -2.747 -3.571**
Durables Consumption -2.677 -3.112 -2.694
Non-durables Consumption -2.117 -2.067 -5.454**
Services Consumption -3.27 -3.155 -3.968**
Westpac Overall Index -1.601 - -6.583**
Westpac Current Conditions Index -1.975 - -5.213**
Westpac Future Conditions Index -1.601 - -7.15**
Westpac Component Question 1 -1.349 - -5.959**
Westpac Component Question 2 -1.975 - -5.984**
Westpac Component Question 3 -1.621 - -7.13**
Westpac Component Question 4 -1.687 - -7.954**
Westpac Component Question 5 -2.361 - -6.062**
One News Colmar Brunton -2.486 - -6.556**
Real Labour Income -2.093 -2.616 -2.953*
Real Interest Rates -1.233 - -5.867**
Real Stock market index -2.28 -2.272 -4.688**
Inflation Rate -2.823 - -3.25*
Real Net Housing Wealth -2.005 -2.041 -3.327*
Real Net Financial Wealth -1.316 -1.307 -5.023**
Unemployment Rate -1.493 - -2.627

** Stationarity at the 1% level (MacKinnon critical values).
* Stationarity at the 5% level (MacKinnon critical values).
Note: All variables were tested over the 1990:2 to 2002:4 period.

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