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Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey

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  • Entorf, Horst
  • Knoll, Christian
  • Sattarova, Liliya

Abstract

The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating individual survey data, we first present and introduce the CFS survey by comparing CFS indicators of confidence and predicted confidence to ifo and ZEW indicators. The major contribution is the analysis of several indicators of uncertainty. In addition to well established concepts, we introduce innovative measures based on the skewness of forecast errors and on the share of 'no response' replies. Results show that uncertainty indicators fit quite well with pattern of real and financial time series of the time period 2007 to 2010. --

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Bibliographic Info

Paper provided by Center for Financial Studies (CFS) in its series CFS Working Paper Series with number 2010/18.

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Date of creation: 2011
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Handle: RePEc:zbw:cfswop:201018

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Related research

Keywords: Business Sentiment; Financial Crisis; Survey Indicator; Uncertainty;

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  1. R?diger Bachmann & Steffen Elstner & Eric R. Sims, 2013. "Uncertainty and Economic Activity: Evidence from Business Survey Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 217-49, April.
  2. Marc Nerlove, 1981. "Expectations, Plans and Realizations: In Theory and Practice," Discussion Papers 511, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Adina Popescu & Frank Rafael Smets, 2010. "Uncertainty, Risk-taking, and the Business Cycle in Germany," CESifo Economic Studies, CESifo, vol. 56(4), pages 596-626, December.
  4. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, 05.
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