The use of short-term indicators and survey data for predicting turning points in economic activity

Astolfi, Roberto; Gamba, Michela; Guidetti, Emmanuelle; Pionnier, Pierre-Alain

doi:10.1787/5jlz4gs2pkhf-en

Cited by 6 publications

(6 citation statements)

References 1 publication

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“…European studies (EC, 2017) prove that the post-crisis ESI dynamic demonstrates an even higher correlation with annual GDP growth. 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 Reviewsupporting

confidence: 61%

“…The post-crisis economic reality can be defined as the 'new normal' for the cumulative dynamics of entrepreneurial opinions and expectations. Studies devoted to the dynamics of BCS results in the EU came to similar conclusions (Gayer & Mark, 2016;Astolfi et al, 2016). The bottom line is that the sentiment of business and consumers -not recovered from the crisis even to the previous (normal) level -was again pulled into uncertainty and high volatility when the crisis phase was only smoothed out and upward trends manifested mainly in the case of a low base effect.…”

Section: Resultsmentioning

confidence: 59%

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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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Section: Literature Reviewsupporting

confidence: 61%

Section: Resultsmentioning

confidence: 59%

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 monthly GDP indicator at constant prices is selected as the reference series that is generally considered the broadest indicator of economic activity (Czesány & Jeřábková, 2009a). Only its cyclical component is used in the analyses (Czesány & Jeřábková, 2009b;Astolfi et al, 2016).…”

Section: Methodsmentioning

confidence: 99%

Prediction of business cycle of Poland

Tkáčová¹,

Gavurová²,

Kelemen³

2022

Journal of International Studies

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The paper is focused on the construction of a new composite indicator intended to predict the economic cycle of Poland and its comparison with the existing CLI used by international institutions such as OECD and Eurostat. In part, this research is also dedicated to monitoring the partial advance cyclical indicators that make up the CLI components and their changes over time. The paper explores 62 qualitative and quantitative economic indicators of Poland and their relationship to the development of monthly GDP at constant prices in three different time periods: 2005 to 2021, 2010 to 2021, and 2016 to 2021. A modified OECD method is used to select the cyclical component of time series using the Hodrick-Prescott filter and subsequently employ cross-correlation of the variables with the cyclical component of GDP. The constructed CLI can predict the evolution of the CLI one month ahead with a cross-correlation level of 0.879 under equal weights and 0.877 under different weights. Research has shown that there is no significant change in the composition of the CLI for the prediction of the economic cycle of Poland when using the established methodology.

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“…Neka su istraživanja pokazala da su prethode i indikatori bili u mogu nosti predvidjeti Veliku recesiju u zemljama G7 skupine i to u ranoj fazi, iako, po svojoj prirodi, nisu mogli dati odgovor o "dubini" dolaze e krize (AstolÞ et al, 2016. ).…”

Section: Uvodunclassified

Indeks pouzdanja potrošača kao navješćujući indikator promjena prometa u trgovini na malo

Čižmešija

Orlović²

2018

Ekon. pregl. (Online)

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Cilj rada je empirijski ispitati postojanje povezanosti prometa u trgovini na malo i Pokazatelja pouzdanja potrošača na razini Europske unije i na razini euro područja. Pokazatelj pouzdanja potrošača (engl. Consumer Confi dence Indicator, CCI) je kompozitni pokazatelj ocjena i očekivanja potrošača u zemljama EU i EA. U istraživanju se ispituje mogućnost predviđanja smjera promjene prometa u trgovini na malo, a ne i intenziteta te promjene. Pri tome se ispituje povezanost predviđenih (po promjenama CCI-a) i ostvarenih promjena prometa u trgovini na malo (na godišnjoj razini) za određeno vrijeme prethođenja. U tu svrhu u analizi je korišten VAR model, Grangerov test uzročnosti, konfuzijska matrica i Hi-kvadrat test nezavisnosti obilježja u tablici kontingence. Uočeno je da promjene CCI-a prethode promjenama prometa u trgovini na malo dva (za EU) i tri (za EA) mjeseca i da su planirane i ostvarene promjene statistički značajno povezane. U oko 80% slučajeva su promjene za navedeno vrijeme prethođenja (na godišnjoj razini) istosmjerne. Dodatno su izračunani koeficijenti korelacije pomičnog okvira i utvrđena nestabilnost povezanosti među varijablama kroz vrijeme.

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The use of short-term indicators and survey data for predicting turning points in economic activity

Cited by 6 publications

References 1 publication

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

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

Prediction of business cycle of Poland

Indeks pouzdanja potrošača kao navješćujući indikator promjena prometa u trgovini na malo

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