IDEAS home Printed from https://ideas.repec.org/p/zbw/cfswop/201018.html
   My bibliography  Save this paper

Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey

Author

Listed:
  • Entorf, Horst
  • Knoll, Christian
  • Sattarova, Liliya

Abstract

The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating individual survey data, we first present and introduce the CFS survey by comparing CFS indicators of confidence and predicted confidence to ifo and ZEW indicators. The major contribution is the analysis of several indicators of uncertainty. In addition to well established concepts, we introduce innovative measures based on the skewness of forecast errors and on the share of 'no response' replies. Results show that uncertainty indicators fit quite well with pattern of real and financial time series of the time period 2007 to 2010.

Suggested Citation

  • Entorf, Horst & Knoll, Christian & Sattarova, Liliya, 2011. "Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey," CFS Working Paper Series 2010/18, Center for Financial Studies (CFS).
    • Handle: RePEc:zbw:cfswop:201018
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/78056/1/752388657.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Adina Popescu & Frank Rafael Smets, 2010. "Uncertainty, Risk-taking, and the Business Cycle in Germany," CESifo Economic Studies, CESifo Group, vol. 56(4), pages 596-626, December.
    2. Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
    3. R?diger Bachmann & Steffen Elstner & Eric R. Sims, 2013. "Uncertainty and Economic Activity: Evidence from Business Survey Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 217-249, April.
    4. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    5. Nerlove, Marc, 1983. "Expectations, Plans, and Realizations in Theory and Practice," Econometrica, Econometric Society, vol. 51(5), pages 1251-1279, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Salzmann, Leonard, 2020. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224588, Verein für Socialpolitik / German Economic Association.
    2. Alessandri, Piergiorgio & Mumtaz, Haroon, 2019. "Financial regimes and uncertainty shocks," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 31-46.
    3. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    4. Angelini, Giovanni & Costantini, Mauro & Easaw, Joshy, 2018. "Uncertainty and spillover effects across the Euro area," Cardiff Economics Working Papers E2018/15, Cardiff University, Cardiff Business School, Economics Section.
    5. Chris Redl, 2018. "Macroeconomic Uncertainty in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 86(3), pages 361-380, September.
    6. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
    7. Scott R Baker & Nicholas Bloom & Stephen J Terry, 2024. "Using Disasters to Estimate the Impact of Uncertainty," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(2), pages 720-747.
    8. Rodrigo Cerda & Álvaro Silva & José Tomás Valente, 2018. "Impact of economic uncertainty in a small open economy: the case of Chile," Applied Economics, Taylor & Francis Journals, vol. 50(26), pages 2894-2908, June.
    9. Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018. "Oil price shocks and uncertainty: How stable is their relationship over time?," Economic Modelling, Elsevier, vol. 72(C), pages 42-53.
    10. Scott R. Baker & Nicholas Bloom, 2013. "Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments," CEP Discussion Papers dp1243, Centre for Economic Performance, LSE.
    11. Reif Magnus, 2021. "Macroeconomic uncertainty and forecasting macroeconomic aggregates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
    12. Caldara, Dario & Fuentes-Albero, Cristina & Gilchrist, Simon & Zakrajšek, Egon, 2016. "The macroeconomic impact of financial and uncertainty shocks," European Economic Review, Elsevier, vol. 88(C), pages 185-207.
    13. Gieseck Arne & Largent Yannis, 2016. "The Impact of Macroeconomic Uncertainty on Activity in the Euro Area," Review of Economics, De Gruyter, vol. 67(1), pages 25-52, May.
    14. John Nkwoma Inekwe, 2020. "Market uncertainty, risk aversion, and macroeconomic expectations," Empirical Economics, Springer, vol. 59(4), pages 1977-1995, October.
    15. Saygin Sahinoz & Evren Erdogan Cosar, 2020. "Quantifying uncertainty and identifying its impacts on the Turkish economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(2), pages 365-387, May.
    16. Fateh Belaid & Ahmed H. Elsayed, 2019. "What drives renewable energy production in MENA Region? Investigating the roles of political stability, governance and financial sector," Working Papers 1322, Economic Research Forum, revised 21 Aug 2019.
    17. repec:ces:ifofor:v:19:y:2018:i:1:p:46-50 is not listed on IDEAS
    18. Born, Benjamin & Pfeifer, Johannes, 2014. "Policy risk and the business cycle," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 68-85.
    19. Pellegrino, Giovanni, 2018. "Uncertainty and the real effects of monetary policy shocks in the Euro area," Economics Letters, Elsevier, vol. 162(C), pages 177-181.
    20. Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem & Rebucci, Alessandro, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications (Working Papers) 6605, Inter-American Development Bank.
    21. Claeys, Peter & Vašíček, Bořek, 2019. "Transmission of uncertainty shocks: Learning from heterogeneous responses on a panel of EU countries," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 62-83.

    More about this item

    Keywords

    Business Sentiment; Financial Crisis; Survey Indicator; Uncertainty;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cfswop:201018. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/ifkcfde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.