This paper empirically investigates, in the context of vector autoregression and error-correction methodology, the link between three confidence measures of consumers, investors, businesses, and economic fluctuations. Using quarterly data for the United Sates from 1980 to 2005, we found that the hypothesis that these confidence measures do not Granger-cause GDP was rejected, even after controlling for other macroeconomic variables. Forecast Variance decompositions of GDP suggest that consumer confidence, stock return, and purchasing manger’s index, account for large variations in GDP. Overall, the results reconfirm the views that these measures play important roles in economic fluctuations.