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The Predictive Content of Business Survey Indicators: evidence from SIGE

Listed author(s):
  • Tiziana Cesaroni

    ()

  • Stefano Iezzi

    ()

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 predict macroeconomic developments in the short term. In this study we extend the previous research on business surveys predictive content by examining 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 properties of survey data (volatility, stationarity, turning points etc.) and we compare them with National Accounts reference series. We further analyze the forecast ability of the SIGE indicators to detect turning points using both discrete and continuous dynamic single equation models against their benchmark (B)ARIMA models. Overall the results indicate that SIGE business indicators are able to early detect turning points of their corresponding national account reference series. These findings are very important from a policy making point of view.

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File URL: http://www.luiss.it/RePEc/pdf/lleewp/15118.pdf
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Paper provided by Dipartimento di Economia e Finanza, LUISS Guido Carli in its series Working Papers LuissLab with number 15118.

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Date of creation: 2015
Handle: RePEc:lui:lleewp:15118
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