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The Predictive Content of Business Survey Indicators: Evidence from SIGE

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  • Tatiana Cesaroni

    () (Bank of Italy)

  • Stefano Iezzi

    (Bank of Italy)

Abstract

Abstract Business surveys indicators represent an important tool in economic analysis and forecasting practices. While there is wide consensus on the coincident properties of such data, there is mixed evidence on their ability to forecast macroeconomic developments in the short term. In this study we extend the previous research on business surveys predictive content by examining for the first time the leading properties of the main business survey indicators coming from the Italian survey on inflation and growth expectations (SIGE). To this end we provide a complete characterization of the business cycle leading/coincident properties of SIGE data (turning points, average duration, synchronization etc.) with respect to the National Accounts reference series using both non parametric approaches (i.e. Harding and Pagan in J Monet Econ 49(2):365–381, 2002) and econometric models (discrete and continuous dynamic single equation models). Overall the results indicate that in both the approaches SIGE business indicators are able to early detect turning points of their corresponding national account reference series in almost all cases. Overall, the average lead of troughs is found to be higher than the average lead of peaks.

Suggested Citation

  • Tatiana Cesaroni & Stefano Iezzi, 2017. "The Predictive Content of Business Survey Indicators: Evidence from SIGE," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(1), pages 75-104, May.
  • Handle: RePEc:spr:jbuscr:v:13:y:2017:i:1:d:10.1007_s41549-017-0015-8
    DOI: 10.1007/s41549-017-0015-8
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    References listed on IDEAS

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    Keywords

    Business survey data; Turning points; Pseudo real time; Forecast accuracy; Macroeconomic forecasts;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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