Table 5.

Forecast of changes in household saving and borrowing rates, augmented by one lag of changes in consumer confidence indicators (baseline models without lagged dependent variable)

		∆HSRtot			∆HSRvol			∆HBR
		Baseline model regressors ∆DIr t−3, ∆IRD t−4			Baseline model regressors ∆DIr t−3, ∆IRD t−4			Baseline model regressors ∆DIr t−3, ∆IRL t−1, ∆IRL t−4
		${\overline{R}}^2$ = 0.155, AIC = 94.47			${\overline{R}}^2$ = 0.110, AIC = 100.40			${\overline{R}}^2$ = 0.171, AIC = 116.65
		Incremental ${\overline{R}}^2$	AIC	Lag	Incremental ${\overline{R}}^2$	AIC	Lag	Incremental ${\overline{R}}^2$	AIC	Lag
1	∆I1	−0.013	96.06	t − 1	−0.010	101.85	t − 3	−0.011	118.14	t − 3
	Past Financial Situation	(0.473)			(0.409)			(0.488)
2	∆I2	−0.001	95.43	t − 4	−0.011	101.89	t − 3	0.005	117.27	t − 3
	Expected Financial Situation	(0.231)			(0.329)			(0.178)
3	∆I3	−0.006	95.71	t − 1	0.008	100.94	t − 3	0.036	115.47a	t − 3
	Past general economic situation	(0.367)			(0.222)			(0.145)
4	∆I4	0.018	94.35a	t − 3	0.032*	99.66a	t − 3	0.034*	115.58a	t − 3
	Expected general economic situation	(0.152)			(0.084)			(0.097)
5	∆I8	0.002	95.25	t − 3	0.024	100.07a	t − 3	0.094***	112.02a	t − 3
	Present Major Purchases Climate	(0.360)			(0.163)			(0.008)
6	∆CCCI	0.004	95.14	t − 3	0.025	100.02a	t − 3	0.054*	114.44a	t − 3
	Current Consumer Confidence Index	(0.280)			(0.102)			(0.058)
7	∆I7	0.122***	88.18a	t − 3	0.144***	93.21a	t − 3	0.155***	108.04a	t − 3
	Expected Unemployment Level	(0.000)			(0.000)			(0.000)
8	∆I11	−0.013	96.08	t − 4	0.006	101.04	t − 4	−0.007	117.94	t − 4
	Future Savings Likelihood	(0.452)			(0.176)			(0.268)
9	∆FCCI	0.055**	92.24a	t − 3	0.077***	97.17	t − 3	0.085***	112.54a	t − 3
	Forward Consumer Confidence Index	(0.015)			(0.003)			(0.005)

The table reports regressions according to Eqs. 9–10. The numbers in parentheses are p values of the significance of one lag (specified in column 3, 6 or 9) of change in the customer confidence index. The decision which of four lags of change in confidence index to choose is based on the AIC. The number of observations (N) is 46. Hypothesis tests were conducted using a heteroskedasticity and serial correlation robust covariance matrix. HSRtot, HSRvol, HBR denote total household saving rate, voluntary household saving rate, household borrowing rate, respectively. DIr indicates the real gross household disposable income, IRD and IRL signify interest rate on deposits and loans, respectively

* Statistical significance at the 10 % level; ** statistical significance at the 5 % level; *** statistical significance at the 1 % level

^aImprovement in the AIC