This paper explores the short-term and long-run relationship between the unemployment rate and the consumer confidence index in five metropolitan statistical areas (MSAs) of New York State. The paper utilizes a unique dataset collected by the Siena Research Institute (SRI) between 2001 and 2010. We use panel cointegration and panel error-correction models (ECM) to explore the causal relationship between these two variables. The short-run coefficients indicate a negative causality from consumer sentiment to unemployment and vice versa, indicating that unemployment and consumer sentiment reinforce each other in the short run. In the long-run, we find significant negative causality from consumer confidence to unemployment. However, the direction of causality from unemployment to consumer confidence is not significant.
Arindam Mandal and Joseph McCollum. "Consumer Confidence and the Unemployment Rate in New York State: A Panel Study." New York Economic Review. vol. 44, Fall 2013, p. 3-19
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