Relation Between Consumer Confidence

Index and other Macroeconomics indicators

------using RBF approach

Sun Hao (hsun9@wisc.edu)Course: ECE539(2008~fall)Instructor: Pro.Yu Hen Hu

BackgroundICS:

The Index of Consumer Sentiment (ICS) is a consumer confidence index published monthly by the university of Michigan.

Developed from national telephone interview

Other indexCPI: consumer price index;UI: Initial claims for unemployment insurance;DJI: Dow Jones Industrial Average Index;

Structure

Data PreprocessingGet data from website of federal reserve

Monthly data of: CPI, UI claim, DJI, ICS

Data range: Jan. 2005 to Oct. 2008

Calculate the monthly change of these data

Construct modelTry different combination of input data.

Try monthly income, S&P 500, unemployment rateFinally choose, CPI 1st,2nd change, UI,DJI, ICS

Try different configuration of networkDifferent spread of the radio basic functionTry MLP with back-propagation trainingCompare with multivariable linear regressionFinally choose RBN

Training result

Testing Result

Notes:1.MSE: RBF: 67.54 MVLR: 69.222.Both of them can partly approximate the target curve3.RBF perform slightly better.

Remaining Work

Future job: Improve the network and try other feather vectorMeasure the effect of each input on the output.