The Predictive Content of Business Survey Indicators: Evidence from SIGE

Cesaroni, Tatiana; Iezzi, Stefano

doi:10.1007/s41549-017-0015-8

Cited by 10 publications

(3 citation statements)

References 16 publications

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“…Astolfi et al (2016) confirm the leading characteristics based on the dated breakpoints for the OECD composite indicators compared to the indicators based on the national accounts during the Great Recession. Cesaroni and Iezzi (2017) remind the high statistical capability of the indicators based on the qualitative research in order to predict the macroeconomic alteration in the short term. Cizmesija and Skrinjaric (2021) confirm that ESI has found itself as a strong predictor of the economic activity.…”

Section: Post-crisis Changes In Esi Predictive Capabilitiesmentioning

confidence: 99%

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

Tkacova,

Gavurova

2023

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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.

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Section: Post-crisis Changes In Esi Predictive Capabilitiesmentioning

confidence: 99%

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

Tkacova,

Gavurova

2023

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“…Astolfi et al (2016) confirm the leading nature of dated turning points based on OECD composite indicators compared to those based on national accounts during the Great Recession. Cesaroni and Iezzi (2017) note the high statistical ability of survey-based indicators to predict macroeconomic changes in the short term.…”

Section: Literature Reviewmentioning

confidence: 99%

The relationship of economic sentiment and GDP growth in Russia in light of the Covid-19 crisis

Kitrar¹,

Lipkind²

2021

EBER

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The objective of the article is to prove the empirical and predictive value of the aggregate opinions of businesses and households for expanding cyclical macroeconomic data in Russia, especially during the coronavirus shocks. Research Design & Methods: We use qualitative information from surveys that cover about 24 000 organisations and 5100 households in all Russian regions. The total economic sentiment indicator (TESI) combines information on 18 survey-based indicators. Cross-correlation analysis, Hodrick-Prescott filtering, and a vector autoregressive (VAR) model with dummy variables are used as the research methods. Findings: The study confirms an almost synchronous cyclic conformity of the gross domestic product (GDP) growth and TESI dynamics for the period of 1998-2020. Probable GDP growth until the end of 2021 is estimated based on the expected impulses in the TESI dynamics, including those due to the sudden impact of the coronavirus. Implications & Recommendations: Assessments of business and household activity are reliable and available much earlier than quantitative statistics on GDP growth. Therefore, we advise to use them as an early warning system about economic growth and take them into account in policymaking. Contribution & Value Added: We are the first to confirm the effectiveness and reliability of TESI as a leading indicator of GDP growth in Russia, using data from large-scale business surveys and with a focus on crisis shocks. Article type:research article

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“…These empirical results led economists to eventually reject the positive findings at the macro level as illusory. But given its predictive performance at the macro level, survey data on expectations became an indispensable component of systems of leading economic indicators now conducted by nearly every country in the world (Baghestani & Fatima, 2021 ; Campelo et al, 2020 ; Cesaroni & Iezzi, 2017 ; Curtin, 2007 ; Lahiri & Zhao, 2016 ).…”

Section: Introductionmentioning

confidence: 99%

A New Theory of Expectations

Curtin

2022

J Bus Cycle Res

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Expectations are essential for understanding the economic choices of individuals as well as cyclical developments in an economy over time. The initial theory of how people form their expectations was first introduced by Aristotle more than two millennia ago. The core elements he advanced were that forward-looking decisions must be based on expectations and those expectations must be formed by reason, free from the corrupting influence of passion. These guidelines have been formalized in theories of rational expectations. There has been no consensus among social scientists, however, about whether rationality should be defined by how expectations are formed (favored in psychology) or by the outcomes of the formation process (favored in economics). Data collected by the University of Michigan over the past half-century appear to support both views: the psychological thesis of bounded rationality in the formation of expectations by individuals as well as the unbounded rationality thesis of economics when applied to the expectations observed across the entire economy. The goal of this paper is to correct empirical misspecifications, and to incorporate recent advances in neuroscience, including the dominance of nonconscious processes over conscious deliberation, the critical role of affective evaluations, and the formation of expectations by a Bayesian updating procedure. The new theory highlights the importance of contextual factors, and provides a more accurate assessment of costs and benefits. Although these innovations represent a radical departure from orthodox theories, they are justified by the increase in explanatory power provided by this new theory of expectations.

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The Predictive Content of Business Survey Indicators: Evidence from SIGE

Cited by 10 publications

References 16 publications

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

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

The relationship of economic sentiment and GDP growth in Russia in light of the Covid-19 crisis

A New Theory of Expectations

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