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On The Predictive Content Of Production Surveys: A Pan-European Study

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Author Info
Lemmens, A.
Croux, C.
Dekimpe, M.G. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)

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Abstract

For over forty years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive accuracy of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests, which has resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country influences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Specifically, the multivariate El-Himdi and Roy test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint effect is indeed due to cross-country influences, and to determine which countries' expectation series have most "clout" in predicting the production levels in the other member countries, or have higher "receptivity", in that their production levels are Granger-caused by the other countries' expectations.

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Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2004-017-MKT Revision_Date: 2009-07-29.

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Date of creation: 20 Feb 2004
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Handle: RePEc:dgr:eureri:30001304

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Related research
Keywords: business surveys; cross-correlations; production expectations; granger causality;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jonung, Lars, 1986. "Uncertainty about inflationary perceptions and expectations," Journal of Economic Psychology, Elsevier, vol. 7(3), pages 315-325, September. [Downloadable!] (restricted)
  2. Oller, Lars-Erik & Tallbom, Christer, 1996. "Smooth and timely business cycle indicators for noisy Swedish data," International Journal of Forecasting, Elsevier, vol. 12(3), pages 389-402, September. [Downloadable!] (restricted)
  3. Sapir, Andre, 1998. "The political economy of EC regionalism," European Economic Review, Elsevier, vol. 42(3-5), pages 717-732, May. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Sarah Gelper & Aurélie Lemmens & Christophe Croux, 2007. "Consumer sentiment and consumer spending: decomposing the Granger causal relationship in the time domain," Applied Economics, Taylor and Francis Journals, vol. 39(1), pages 1-11, January. [Downloadable!] (restricted)
  2. Javier Jareño, 2007. "Opinion-based surveys in the conjunctural analysis of the Spanish economy," Banco de España Occasional Papers 0706, Banco de España. [Downloadable!]
  3. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2004. "Decomposing Granger Causality over the Spectrum," Research Paper ERS-2004-102-MKT Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  4. Jaba Ghonghadze & Thomas Lux, 2009. "Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach," Kiel Working Papers 1487, Kiel Institute for the World Economy. [Downloadable!]
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