Advanced Search
MyIDEAS: Login to save this paper or follow this series

Business Survey Data: Do They Help in Forecasting the Macro Economy?

Contents:

Author Info

  • Hansson, Jesper

    (National Institute of Economic Research)

  • Jansson, Per

    ()
    (Monetary Policy Department, Central Bank of Sweden)

  • Löf, Mårten

    ()
    (National Institute of Economic Research)

Abstract

In this paper we examine whether data from business tendency surveys are useful for forecasting the macro economy in the short run. Our analyses primarily concern the growth rates of real GDP but we also evaluate forecasts of other variables such as unemployment, price and wage inflation, interest rates, and exchange-rate changes. The starting point is a so-called dynamic factor model (DFM), which is used both as a framework for dimension reduction in forecasting and as a procedure for filtering out unimportant idiosyncratic noise in the underlying survey data. In this way, it is possible to model a rather large number of noise-reduced survey variables in a parsimoniously parameterised vector autoregression (VAR). To assess the forecasting performance of the procedure, comparisons are made with VARs that either use the survey variables directly, are based on macro variables only, or use other popular summary indices of economic activity. As concerns forecasts of GDP growth, the procedure turns out to outperform the competing alternatives in most cases. For the other macro variables, the evidence is more mixed, suggesting in particular that there often is little difference between the DFM-based indicators and the popular summary indices of economic activity.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.riksbank.se/upload/8107/WP_151.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Lena Löfgren)
Download Restriction: no

Bibliographic Info

Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 151.

as in new window
Length: 46 pages
Date of creation: 01 Sep 2003
Date of revision:
Publication status: Published in International Journal of Forecasting, 2005, pages 377-389.
Handle: RePEc:hhs:rbnkwp:0151

Contact details of provider:
Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Phone: 08 - 787 00 00
Fax: 08-21 05 31
Email:
Web page: http://www.riksbank.com/
More information through EDIRC

Related research

Keywords: Business survey data; Dynamic factor models; Macroeconomic forecasting;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Bruno, Giancarlo & Malgarini, Marco, 2002. "An Indicator of Economic Sentiment for the Italian Economy," MPRA Paper 42331, University Library of Munich, Germany.
  2. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003. "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1243-1255, September.
  3. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
  4. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
  5. 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.
  6. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
  7. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  8. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  9. n/a, 2002. "Credibility of the Russian Stabilisation Programme in 1995-98," NIESR Discussion Papers 149, National Institute of Economic and Social Research.
  10. Lindström, Tomas, 2000. "Qualitative Survey Responses and Production over the Business Cycle," Working Paper Series 116, Sveriges Riksbank (Central Bank of Sweden).
  11. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  12. G. Goldrian & J.D. Lindbauer & G. Nerb & B. Ulrich, 2001. "Evaluation and development of confidence indicators based on harmonised business and consumer surveys (Study contracted to IFO, Munich)," European Economy - Economic Papers 151, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  13. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Lise Pichette, 2012. "Extracting Information from the Business Outlook Survey Using Statistical Approaches," Discussion Papers 12-8, Bank of Canada.
  2. Hansson, Jesper & Jansson, Per & Lof, Marten, 2005. "Business survey data: Do they help in forecasting GDP growth?," International Journal of Forecasting, Elsevier, vol. 21(2), pages 377-389.
  3. Aleksejs Melihovs & Svetlana Rusakova, 2005. "Short-Term Forecasting of Economic Development in Latvia Using Business and Consumer Survey Data," Working Papers 2005/04, Latvijas Banka.
  4. Piotr Białowolski & Tomasz Kuszewski & Bartosz Witkowski, 2010. "Business Survey Data in Forecasting Macroeconomic Indicators with Combined Forecasts," Contemporary Economics, University of Finance and Management in Warsaw, vol. 4(4), December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hhs:rbnkwp:0151. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lena Löfgren).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.