The 5th International Conference on Modern Management based on Big Data (MMBD2024)

Abstract: Do consumers overreact during a crisis for psychological reasons? This paper provides a unique framework for modeling the dependence structure between consumer attitudes and spending. We examine this dependence using the statistical notion of copulas. Specifically, marginal distributions of consumer confidence and spending are first modeled. The University of Michigan’s Consumer Sentiment Index serves as a proxy of consumer confidence, and real Personal Consumption Expenditure is utilized as a measure of consumer spending. Then copulas are fitted to the marginal densities to model their dependence. The empirical analysis focuses on this dependence during times of crisis, with particular attention given to the period surrounding the COVID-19 pandemic. The findings show comovements between consumer confidence and spending, such that consumer confidence coincides with expenditures. Results further suggest that the dependence between these two indicators has intensified during the COVID-19 pandemic. In addition, uncertainty during the pandemic is captured through tail dependence.
Keywords: Copula, COVID-19, consumer confidence, consumer spending, dependence structure, uncertainty

Biography: Omid M. Ardakani, Associate Professor of Economics, is the Shirley and Philip Solomons, Sr. Research Fellow in the Department of Economics, Parker College of Business at Georgia Southern University. He received his Ph.D. in economics from the University of Wisconsin-Milwaukee in 2015. Ardakani’s research has been published in leading journals, such as Journal of Economic Dynamics and Control, International Statistical Review, and Studies in Nonlinear Dynamics and Econometrics. Currently, he is the coeditor of Open Economics. His professional activities include serving as the editorial board member of International Finance and Banking and the founding director of Georgia Southern’s Statistics and Econometrics Research Group (SERG).