The Impact of Uncertainty Shocks to Consumption under Different Confidence Regimes Based on a Stochastic Uncertainty-in-Mean TVAR Model
Round 1
Reviewer 1 Report
This paper studies the relation between consumer confidence and domestic/foreign consumption under a stochastic uncertainty-in-mean threshold vector autoregressive (SU-M-TVAR) model. By introducting the SU-M, the author claims a better fitted model of consumption, output, imports, and exports.
-- A first-place question is, why SU-M? I mean, for an ad-hoc sample, we all know that, adding more degree-of-freedom can improve the fitting in most cases. What is the intuition of using SU-M, rather than, say, SU-Variance, of other arbitrary ways of adding asymmetric shocks?
-- Why adding an AR(1) stochastic uncertainty makes the model more consistent with DSGE?
-- Robustness. Are the results robust to sample selection (for example, a bootstrap/jack-knife sample) or model selecetion? The AIC/SBC/LL can somehow shows model selection criterion, however, if the sample is changed, say, dropping some observations, or applying the result to another economy, will the model relatively robust?
-- Line 368, how is the year-on-year growth rate a monthly data? I can come up with several ideas, but the author may explicitly clarify how they define this variable.
-- Notation. The definition of Zt and Z* is a bit confusing. I would suggest changing notation. for example. Z* to CCI*, to make the reading flow more consisitent.
-- All figures and tables should be self-explanatory. For example, in Figure 2, I would expect a figure note that defines "consumer confidence index", and state whether there are any moving average/smoothing implemented.
-- Some of the reference sources are not found. " Error! Reference source not found." shown in many places.
-- English writing should be improved.
Author Response
Please see the attachment.
Author Response File: 
Author Response.pdf
Reviewer 2 Report
In the abstract, introduction (urgency and significance of the research hypothesis. Also please include methodology and managerial implications from the findings of this study in the context of the environment by combining the research objectives and problems.
The introduction section needs a few more sentences to strengthen the article, and please include the research problem, objective, and novelty in the last paragraph of the Introduction section. Include a few more sentences at the beginning of the introduction explaining your paper's contribution, as well as your attempts to deal with or present solutions to a specific problem/s and your unique contribution with this research paper.
-Furthr, though your study is very relevant in the present times, the paper has not been developed adequately in terms of structure, operationalization of variables, justification of the scales adopted, and explanation of the results. It is important to highlight what is missing/unclear in literature and how your study fills gaps/clarifies; what are the wider implications. The introduction is very ambiguous and does not clearly establish the need, purpose and contribution of this study. The specific objectives of the study are not clearly listed by the authors
-Literature review. The literature review must be more holistic and comprehensive, with equal attention given all the research variables. I found myself quite confused reading statements that were not well explained or did not provide examples to support what was being stated.The introduction section needs a few more sentences to strengthen the article, and please include the research problem, objective, and novelty in the last paragraph of the Introduction section. Include a few more sentences at the beginning of the introduction explaining your paper's contribution to the objective, as well as your attempts to deal with or present solutions to a specific problem/s and your unique contribution with this research paper. I would suggest the author to read more recent publications. The three main criteria for this manuscript are: (2) quality and content of the research/review; (2) Quality, brevity and clarity of presentation; (3) Significance, relevance and timeliness of the topic.
Author Response
Please see the attachment.
Author Response File: Author Response.pdf
Reviewer 3 Report
The manuscript refers to the impact of uncertainty shocks to consumption under different confidence regimes in China. The authors developed a stochastic uncertainty-in-mean thresh-old vector autoregression (SU-M-TVAR) model and focused on the impact of uncertainty shocks on China’s domestic consumption and consumption from abroad.
Several aspects of the paper require further consideration:
a) Comparison between the US and China. On page 3, lines 89-96, a comparison is made between the US and China. Statements reveal differences between the two economies under the impact of an uncertainty shock. However, it is not clear if conclusions are drawn referring to identical, similar or different types of uncertainty shocks. Thus, these conclusions are questionable.
b) Figures. The manuscript includes several figures, but their use does not contribute appropriately to the quality of the article:
b1) On page 2, the information conveyed by the Figure 1 is not clear. The vertical axis presents data in percentages. However, it is not clear what variations are represented on this axis, respectively semestrial variations, year-on-year variations, year-on-year growth rates etc.
b2) The figures are not mentioned in the text and the manuscript does not always refer explicitly to the information presented in the figures.
c) Table 1. In the Table 1, it is not clear what the acronym %CV represents.
d) Limitations. The manuscript does not provide enough information on the limitations of the approach applied by the manuscript. Aspects that could be considered are the types of endogenous variables chosen, types of uncertainty shocks etc.
e) References. There are several critical aspects related to references:
e1) The references are not properly mentioned in the text, by using a number.
e2) The section "References" includes references that are not mentioned in the text of the manuscript. An example is “Alessandri P, Mumtaz H (2017) Financial conditions and density forecasts for US output and inflation. Review of Economic Dynamics 649 24:66–78. https://doi.org/10.1016/J.RED.2017.01.003”.
e3) The information on the year of the reference is not always consistently indicated in the text and in the section "References". An example is related to the reference "Carriero A, Clark TE, Marcellino M (2018) Measuring Uncertainty and Its Impact on the Economy. The Review of Economics and 683 Statistics 100:799–815. https://doi.org/10.1162/REST_A_00693".
e4) The names of the authors are incorrectly mentioned. An example is the reference "George-Marios A, Jennifer L (2013) Sentiments. Econometrica 81:739–779. https://doi.org/10.3982/ECTA10008 694". The names of the authors are Angeletos G.-M. and La'O J.
e5) The volume and issue of the journal in which the article was published is not always mentioned. An example exists in the case of the reference "Luca Benati (2013) Economic policy uncertainty and the great recession. Journal of Applied Econometrics".
e6) The references cited in the manuscript are not always mentioned in the section "References". An example is the reference authored by "Pastor and Veronesi (2016)" and mentioned on page 4, line 153.
Author Response
Please see the attachment.
Author Response File: Author Response.pdf
Reviewer 4 Report
Researcher carried out the research with a well defined objectives and inturn they justified with clear explanation in to it. It provides more valuable information and insights to the readers.
Author Response
We have revised the paper according to the suggestions from the reviewers. Thanks.
Author Response File: Author Response.pdf
Round 2
Reviewer 1 Report
I have no more questions. From my perspect of view, the authors have made significant improvement and the paper looks good now.
Author Response
Thank you
Reviewer 2 Report
By clarifying the limitations of certain methods, adding a helpful conceptual model, and improving the discussion, the authors have clarified their interpretations and applications.
Author Response
Thank you
Reviewer 3 Report
Authors revised the first version of the manuscript. However, some of the suggested modifications were not considered in an appropriate manner.
Figure 1. The vertical axis was renamed "proportion" instead of "percent". Nevertheless, the meaning of "proportion" is not clear in this context. An option could be to clarify this aspect in the text.
Limitations. The second version of the manuscript does not provide enough information on the limitations of the approach applied by the manuscript.
References. A recommended change referred to "e4) The names of the authors are incorrectly mentioned. An example is the reference "George-Marios A, Jennifer L (2013) Sentiments. Econometrica 81:739–779. https://doi.org/10.3982/ECTA10008 694". The names of the authors are Angeletos G.-M. and La'O J.". In the revised version of the manuscript, the reference "24. George-Marios, A.; Jennifer, L. Sentiments. Econometrica 2013, 81, 739–779." Is still incorrectly presented.
Author Response
Thank you for the comments. We revise the paper accordingly and answer the following three points one by one:
- For Figure 1, we mark the vertical axis as "proportions in the GDP of China (%) " . Here, for example, "proportion of consumption" means the share of consumption in GDP in percentage (%). We update the title of Figure 1 as "Proportions of domestic consumption, net export and capital in the GDP of China". Please refer to the highlighted words under Figure 1.
- For Limitations, we present some limitations at the end part of the paper. Please refer to the hightlighted words in Page 18.
- We revise reference 24 as " Angeletos, G.-M.; La'O, J. Sentiments. Econometrica 2013, 81, 739–779." Please refer to the highlighted words on Page 19. We also check other references, revise reference 33, and find no other mistakes now.
