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Sectoral Survey‐based Confidence Indicators for Europe

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  • Andrea Carriero
  • Massimiliano Marcellino

Abstract

In this paper we analyze a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe as a whole. Few CCIs are available for Europe compared to the US, and most of them use macroeconomic variables and focus on aggregate activity. However, there are often delays in the release of macroeconomic data, later revisions, and differences in the definition of the variables across countries, while the surveys are timely available, not subject to revision, and fully comparable across countries. Moreover, there are substantial discrepancies in activity at the sectoral level, which justifies the interest in a sectoral disaggregation. Compared to the Confidence Indicators produced by the European Commission, which are based on a simple average of the aggregate survey answers, we show that factor based CCIs, using survey answers at a more disaggregate level, produce higher correlation with the reference series for the majority of sectors and countries.
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Suggested Citation

  • Andrea Carriero & Massimiliano Marcellino, 2011. "Sectoral Survey‐based Confidence Indicators for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, April.
  • Handle: RePEc:bla:obuest:v:73:y:2011:i:2:p:175-206
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    1. repec:eee:intfor:v:33:y:2017:i:4:p:878-893 is not listed on IDEAS
    2. Lahiri, Kajal & Monokroussos, George, 2013. "Nowcasting US GDP: The role of ISM business surveys," International Journal of Forecasting, Elsevier, vol. 29(4), pages 644-658.
    3. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
    4. Christian Seiler, 2014. "Mode Preferences in Business Surveys: Evidence from Germany," ifo Working Paper Series 193, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    5. Nicoletta Pashourtidou & Andreas Tsiaklis, 2011. "An Analysis of Firms’ Expectations about Activity and Employment," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 5(1), pages 71-85, June.
    6. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Kaufmann, Daniel & Scheufele, Rolf, 2017. "Business tendency surveys and macroeconomic fluctuations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 878-893.
    8. Luu, Duc Thi & Yanovski, Boyan & Lux, Thomas, 2018. "An analysis of systematic risk in worldwide econonomic sentiment indices," Economics Working Papers 2018-03, Christian-Albrechts-University of Kiel, Department of Economics.

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