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Možnosti odhadů krátkodobých makroekonomických agregátů na základě výsledků konjunkturních průzkumů
[Possibilities of Estimations of Short-term Macroeconomic Aggregates Based on Business Survey Results]

Author

Listed:
  • Luboš Marek
  • Stanislava Hronová
  • Richard Hindls

Abstract

The aim of the article is to construct a model for estimating the quarterly gross value added (GVA) of the national economy (GDP) based on the results of business surveys (so-called confidence indicators) in industry, construction, commerce and services (incl. banking sector), and to set the forecast for four quarters ahead. The suitability of the applied approach is assessed using pairwise dependencies for individual sectors. In the case of both pairwise and multidimensional dependencies, the authors proceed from a linear dynamic model, which is a combination of ARIMA models (or SARIMA models) in conjunction with regression analysis, where the variables explained are time-shifted. The quality of the estimated models is proven to be very high. The analysis shows a significant link between the sector's gross value added and sectoral confidence indicators. Significant predictors of the GVA of the national economy and GDP show explanatory variables of confidence indicators in industry and construction, whereas indicators of confidence in trade and services were statistically insignificant. Timely knowledge of these indicators in conjunction with linear dynamic models allows better and faster predictions of quarterly GVA and GDP than with conventional time series models.

Suggested Citation

  • Luboš Marek & Stanislava Hronová & Richard Hindls, 2019. "Možnosti odhadů krátkodobých makroekonomických agregátů na základě výsledků konjunkturních průzkumů [Possibilities of Estimations of Short-term Macroeconomic Aggregates Based on Business Survey Res," Politická ekonomie, Prague University of Economics and Business, vol. 2019(4), pages 347-370.
    • Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:4:id:1243:p:347-370
    DOI: 10.18267/j.polek.1243
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    References listed on IDEAS

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    1. Silvia Lui & James Mitchell & Martin Weale, 2011. "Qualitative business surveys: signal or noise?," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(2), pages 327-348, April.
    2. Emmanuel Michaux & Éric Dubois, 2006. "Étalonnages à l’aide d’enquêtes de conjoncture : de nouveaux résultats," Économie et Prévision, Programme National Persée, vol. 172(1), pages 11-28.
    3. Éric Dubois & Emmanuel Michaux, 2006. "Étalonnages à l'aide d'enquêtes de conjoncture : de nouveaux résultats," Economie & Prévision, La Documentation Française, vol. 172(1), pages 11-28.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    business surveys; forecasting; business expectations; short-term GDP forecasting; time series analsis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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