This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jaba Ghonghadze
Thomas Lux
Abstract

This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a ‘canonical’ stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a selected data set on survey-based expectations from the rich EU business and consumer survey database for twelve European countries. The model parameters are estimated through maximum likelihood and numerical solution of the transient probability density functions for the resulting stochastic process. The model's performance is assessed with respect to its out-of-sample forecasting capacity relative to univariate time series models of the ARMA(p; q) and ARFIMA(p; d; q) varieties. These tests speak for a slight superiority of the canonical opinion dynamics model over the alternatives in the majority of cases

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.ifw-members.ifw-kiel.de/publications/modeling-the-dynamics-of-eu-economic-sentiment-indicators-an-interaction-based-approach/KWP_1487_LuxGhonghadze_EUSentiment.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1487.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 39 pages
Date of creation: Feb 2009
Date of revision:
Handle: RePEc:kie:kieliw:1487

Contact details of provider:
Phone: +49 431 8814-1
Fax: +49 431 85853
Email:
Web page: http://www.ifw-kiel.de

For technical questions regarding this item, or to correct its listing, contact: (Dieter Stribny).

Related research
Keywords: expectation formation; survey-based expectations; opinion dynamics; Fokker-Planck equation; forecasting;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

This paper has been announced in the following NEP Reports:

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. Thomas Lux, 2007. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Working Papers wp07-11, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
  2. Miquel Clar & Juan-Carlos Duque & Rosina Moreno, 2007. "Forecasting business and consumer surveys indicators-a time-series models competition," Applied Economics, Taylor and Francis Journals, vol. 39(20), pages 2565-2580. [Downloadable!] (restricted)
  3. Michela Nardo, 2003. "The Quantification of Qualitative Survey Data: A Critical Assessment," Journal of Economic Surveys, Blackwell Publishing, vol. 17(5), pages 645-668, December. [Downloadable!] (restricted)
  4. Vuchelen, Jef, 1995. "Political events and consumer confidence in Belgium," Journal of Economic Psychology, Elsevier, vol. 16(4), pages 563-579, December. [Downloadable!] (restricted)
  5. Zullow, Harold M., 1991. "Pessimistic rumination in popular songs and newsmagazines predict economic recession via decreased consumer optimism and spending," Journal of Economic Psychology, Elsevier, vol. 12(3), pages 501-526, September. [Downloadable!] (restricted)
  6. Delorme, Charles D, Jr & Kamerschen, David R & Voeks, Lisa Ford, 2001. "Consumer Confidence and Rational Expectations in the United States Compared with the United Kingdom," Applied Economics, Taylor and Francis Journals, vol. 33(7), pages 863-69, June. [Downloadable!] (restricted)
  7. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04. [Downloadable!] (restricted)
    Other versions:
  8. Lemmens, Aurelie & Croux, Christophe & Dekimpe, Marnik G., 2005. "On the predictive content of production surveys: A pan-European study," International Journal of Forecasting, Elsevier, vol. 21(2), pages 363-375. [Downloadable!] (restricted)
    Other versions:
  9. William A. Branch, 2004. "The Theory of Rationally Heterogeneous Expectations: Evidence from Survey Data on Inflation Expectations," Economic Journal, Royal Economic Society, vol. 114(497), pages 592-621, 07. [Downloadable!] (restricted)
  10. Brock, William A & Durlauf, Steven N, 2001. "Discrete Choice with Social Interactions," Review of Economic Studies, Blackwell Publishing, vol. 68(2), pages 235-60, April.
  11. John M. Roberts, 1998. "Inflation expectations and the transmission of monetary policy," Finance and Economics Discussion Series 1998-43, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  12. Lux, Thomas, 1997. "Time variation of second moments from a noise trader/infection model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 1-38, November. [Downloadable!] (restricted)
  13. Reiner Franke, 2007. "Estimation of a Microfounded Herding Model On German Survey Expectations," Working Papers wp07-07, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
  14. Christopher D. Carroll, 2003. "Macroeconomic Expectations Of Households And Professional Forecasters," The Quarterly Journal of Economics, MIT Press, vol. 118(1), pages 269-298, February. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.