Extracting Information of the Economic Activity from Business and Consumer Surveys in an Emerging Economy (Chile)

The present paper discusses the extent to which business and consumer survey observations are useful for predicting the Chilean activity. The two surveys examined are called IMCE and IPEC, after their Spanish abbreviations, for the business and consumer survey, respectively. The baseline exercises consist in simple calculations of cross correlations between the surveys and activity variables, test for Granger causality and augmentation of autoregressive activity models with survey data to evaluate if the now- and forecast performances are improved. The evidence suggests that both surveys, in general, contain useful information for making predictions of the Chilean activity, particularly for the longer horizons. An additional exercise indicates that the data in the two surveys are complementary in the sense that the longer horizon forecasts improve further when both of them are included in the econometric model.