The Predictive Content of High Frequency Consumer Confidence Data

This paper examines newly-available high frequency consumer confidence data, notably a daily survey conducted by Rasmussen. The information content of competing confidence measures is assessed. The Rasmussen survey is found to have some predictive power for future consumption growth, though a bit less than the lower-frequency Michigan survey. We also consider the determinants of consumer confidence, as measured by Rasmussen. We had little success in explaining the biggest daily moves in this confidence measure, but did find that changes in stock prices and the VIX both Granger-cause changes in Rasmussen confidence data. We also find that certain macroeconomic news announcements lead to significant and persistent shifts in this measure of consumer confidence. ∗Department of Economics, Columbia University. 420 W. 118 St. New York, 10027 †Department of Economics, Johns Hopkins University.