The Predictive Content of Business Survey Indicators: Evidence from SIGE

Q3 Economics, Econometrics and Finance

Journal of Business Cycle Research Pub Date : 2015-09-22 DOI:10.2139/ssrn.2722518

Tatiana Cesaroni, S. Iezzi

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引用次数: 163

Abstract

Business surveys indicators represent an important tool in economic analysis and forecasting practices. While there is wide consensus on the coincident properties of such data, there is mixed evidence on their ability to forecast macroeconomic developments in the short term. In this study we extend the previous research on business surveys predictive content by examining for the first time the leading properties of the main business survey indicators coming from the Italian survey on inflation and growth expectations (SIGE). To this end we provide a complete characterization of the business cycle leading/coincident properties of SIGE data (turning points, average duration, synchronization etc.) with respect to the National Accounts reference series using both non parametric approaches (i.e. Harding and Pagan in J Monet Econ 49(2):365–381, 2002) and econometric models (discrete and continuous dynamic single equation models). Overall the results indicate that in both the approaches SIGE business indicators are able to early detect turning points of their corresponding national account reference series in almost all cases. Overall, the average lead of troughs is found to be higher than the average lead of peaks.

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商业调查指标的预测内容:来自SIGE的证据

商业调查指标是经济分析和预测实践中的重要工具。虽然人们对这些数据的一致性有广泛的共识，但关于它们预测短期宏观经济发展的能力，证据不一。在本研究中，我们通过首次检查来自意大利通胀和增长预期调查(SIGE)的主要商业调查指标的领先属性，扩展了之前对商业调查预测内容的研究。为此，我们使用非参数方法(即J Monet Econ 49(2): 365-381, 2002)和计量经济学模型(离散和连续动态单方程模型)提供了关于国民账户参考系列的SIGE数据的商业周期领先/同步属性(转折点，平均持续时间，同步等)的完整特征。总体而言，结果表明，在这两种方法中，SIGE业务指标几乎在所有情况下都能够早期发现其相应的国民账户参考系列的转折点。总体而言，发现波谷的平均导程高于波峰的平均导程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Business Cycle Research Economics, Econometrics and Finance-Finance

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： The Journal of Business Cycle Research promotes the exchange of knowledge and information on theoretical and empirical aspects of economic fluctuations. The range of topics encompasses the methods, analysis, measurement, modeling, monitoring, or forecasting of cyclical fluctuations including but not limited to: business cycles, financial cycles, credit cycles, price fluctuations, sectoral cycles, regional business cycles, international business cycles, the coordination and interaction of cycles, their implications for macroeconomic policy coordination, fiscal federalism and optimal currency areas, or the conduct of monetary policy; as well as statistical approaches to the development of short-term economic statistics and indicators; business tendency, investment, and consumer surveys; use of survey data or cyclical indicators for business cycle analysis. The journal targets both theoretical and applied economists and econometricians in academic research on economic fluctuations, as well as researchers in central banks and other institutions engaged in economic forecasting and empirical modeling. The Journal of Business Cycle Research is the successor to the OECD Journal: Journal of Business Cycle Measurement and Analysis which was published by the OECD and CIRET from 2004 to 2015. Cited as: J Bus Cycle Res