Economic sentiment indicators and their prediction capabilities in business cycles of EU countries

IF 7.6 1区 经济学 Q1 ECONOMICS
Andrea Tkacova, Beata Gavurova
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引用次数: 0

Abstract

Research background: The post-World Financial Crisis period has showed us that an application of the qualitative data focused on the expectations of the enterprises and consumers in a combination with the quantitative data in the individual economy sectors is a good prerequisite for reliable prediction of the economic cycles. Purpose of the paper: The main goal of the presented study was to test the ESI prediction capabilities and its components in a relation to the economic cycles of the EU countries in the individual time periods. Methods: The time series for the period Q1 2000 to Q4 2022 and the three selected time periods were a subject to undergo the selection of the cyclical component applying the Hodrick-Prescott filter and then, the relationship between the variables was determined employing the Pearson correlation coefficient with the time shifts. The relation of ESI and its components to GDP and the Index of Industrial Production (IIP), which represent the economic cycle, was analysed. The prediction volume and the cross-correlation values determined the nature of the observed cyclical variables. Findings & value added: The results of the analysis point to the fact that ESI and its components are able to ensure a high-quality prediction of the economic cycle only in the selected EU countries. Regarding the components of the ESI, the Consumer confidence indicator, Construction and Industrial confidence indicators show the best predictive capabilities. The analytical outcomes show that the ESI size and lead period vary over time and after the 2008 crisis, the ESI showed better predictive capabilities in a relation to GDP and IIP than before the crisis. The Covid 19 pandemic had a significant negative impact on the ESI predictive capabilities.
欧盟经济景气指标及其对经济周期的预测能力
研究背景:后世界金融危机时期向我们表明,将关注企业和消费者预期的定性数据与单个经济部门的定量数据相结合,是可靠预测经济周期的良好前提。本文的目的:本研究的主要目的是测试ESI预测能力及其组成部分与欧盟国家经济周期在各个时期的关系。方法:以2000年第一季度至2022年第四季度的时间序列为研究对象,采用Hodrick-Prescott滤波对三个时段进行周期分量的选择,并利用Pearson相关系数与时移确定变量之间的关系。分析了ESI及其构成要素与代表经济周期的GDP和工业生产指数的关系。预测量和互相关值决定了观测到的周期变量的性质。的发现,附加值:分析结果表明,ESI及其组成部分只能确保对选定的欧盟国家的经济周期进行高质量的预测。在ESI的组成部分中,消费者信心指数、建筑业信心指数和工业信心指数显示出最好的预测能力。分析结果表明,金融危机后的ESI对GDP和IIP的预测能力优于金融危机前。2019冠状病毒病大流行对ESI预测能力产生了显著的负面影响。
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来源期刊
CiteScore
13.70
自引率
5.90%
发文量
26
审稿时长
24 weeks
期刊介绍: The Oeconomia Copernicana is an academic quarterly journal aimed at academicians, economic policymakers, and students studying finance, accounting, management, and economics. It publishes academic articles on contemporary issues in economics, finance, banking, accounting, and management from various research perspectives. The journal's mission is to publish advanced theoretical and empirical research that contributes to the development of these disciplines and has practical relevance. The journal encourages the use of various research methods, including falsification of conventional understanding, theory building through inductive or qualitative research, first empirical testing of theories, meta-analysis with theoretical implications, constructive replication, and a combination of qualitative, quantitative, field, laboratory, and meta-analytic approaches. While the journal prioritizes comprehensive manuscripts that include methodological-based theoretical and empirical research with implications for policymaking, it also welcomes submissions focused solely on theory or methodology.
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