Business and consumer expectations and macroeconomic forecasts

Business and consumer surveys have become an essential tool for gathering information about different economic variables. While the fast availability of the results and the wide range of variables covered have made them very useful for monitoring the current state of the economy, there is no consens...

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Detalles Bibliográficos
Autores: Clavería González, Óscar, Pons Fanals, Ernest, Ramos Lobo, Raúl
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2006
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/45246
Acceso en línea:https://hdl.handle.net/2445/45246
Access Level:acceso abierto
Palabra clave:Previsió econòmica
Macroeconomia
Economia
Consumidors
Previsió dels negocis
Economic forecasting
Macroeconomics
Economics
Consumers
Business forecasting
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spelling Business and consumer expectations and macroeconomic forecastsClavería González, ÓscarPons Fanals, ErnestRamos Lobo, RaúlPrevisió econòmicaMacroeconomiaEconomiaConsumidorsPrevisió dels negocisEconomic forecastingMacroeconomicsEconomicsConsumersBusiness forecastingBusiness and consumer surveys have become an essential tool for gathering information about different economic variables. While the fast availability of the results and the wide range of variables covered have made them very useful for monitoring the current state of the economy, there is no consensus on their usefulness for forecasting macroeconomic developments. The objective of this paper is to analyse the possibility of improving forecasts for selected macroeconomic variables for the euro area using the information provided by these surveys. After analyzing the potential presence of seasonality and the issue of quantification, we tested whether these indicators provide useful information for improving forecasts of the macroeconomic variables. With this aim, different sets of models have been considered (AR, ARIMA, SETAR, Markov switching regime models and VAR) to obtain forecasts for the selected macroeconomic variables. Then, information from surveys has been considered for forecasting these variables in the context of the following models: autoregressive, VAR, Markov switching regime and leading indicator models. In all cases, the root mean square error (RMSE) has been computed for different forecast horizons. The comparison of the forecasting performance of the two sets of models permits us to conclude that, in most cases, models that include information from the surveys have lower RMSEs than the best model without survey information. However, this reduction is only significant in a limited number of cases. In this sense, the results obtained extend the results of previous research that has included information from business and consumer surveys to explain the behaviour of macroeconomic variables, but are not conclusive about its role.Elsevier B.V.2006info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2445/45246Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésVersió postprint del document publicat a: http://dx.doi.org/10.1016/j.ijforecast.2006.04.004International Journal of Forecasting, 2006, vol. 23, num. 1, p. 47-69http://dx.doi.org/10.1016/j.ijforecast.2006.04.004(c) Elsevier B.V., 2006info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/452462026-05-27T06:46:51Z
dc.title.none.fl_str_mv Business and consumer expectations and macroeconomic forecasts
title Business and consumer expectations and macroeconomic forecasts
spellingShingle Business and consumer expectations and macroeconomic forecasts
Clavería González, Óscar
Previsió econòmica
Macroeconomia
Economia
Consumidors
Previsió dels negocis
Economic forecasting
Macroeconomics
Economics
Consumers
Business forecasting
title_short Business and consumer expectations and macroeconomic forecasts
title_full Business and consumer expectations and macroeconomic forecasts
title_fullStr Business and consumer expectations and macroeconomic forecasts
title_full_unstemmed Business and consumer expectations and macroeconomic forecasts
title_sort Business and consumer expectations and macroeconomic forecasts
dc.creator.none.fl_str_mv Clavería González, Óscar
Pons Fanals, Ernest
Ramos Lobo, Raúl
author Clavería González, Óscar
author_facet Clavería González, Óscar
Pons Fanals, Ernest
Ramos Lobo, Raúl
author_role author
author2 Pons Fanals, Ernest
Ramos Lobo, Raúl
author2_role author
author
dc.subject.none.fl_str_mv Previsió econòmica
Macroeconomia
Economia
Consumidors
Previsió dels negocis
Economic forecasting
Macroeconomics
Economics
Consumers
Business forecasting
topic Previsió econòmica
Macroeconomia
Economia
Consumidors
Previsió dels negocis
Economic forecasting
Macroeconomics
Economics
Consumers
Business forecasting
description Business and consumer surveys have become an essential tool for gathering information about different economic variables. While the fast availability of the results and the wide range of variables covered have made them very useful for monitoring the current state of the economy, there is no consensus on their usefulness for forecasting macroeconomic developments. The objective of this paper is to analyse the possibility of improving forecasts for selected macroeconomic variables for the euro area using the information provided by these surveys. After analyzing the potential presence of seasonality and the issue of quantification, we tested whether these indicators provide useful information for improving forecasts of the macroeconomic variables. With this aim, different sets of models have been considered (AR, ARIMA, SETAR, Markov switching regime models and VAR) to obtain forecasts for the selected macroeconomic variables. Then, information from surveys has been considered for forecasting these variables in the context of the following models: autoregressive, VAR, Markov switching regime and leading indicator models. In all cases, the root mean square error (RMSE) has been computed for different forecast horizons. The comparison of the forecasting performance of the two sets of models permits us to conclude that, in most cases, models that include information from the surveys have lower RMSEs than the best model without survey information. However, this reduction is only significant in a limited number of cases. In this sense, the results obtained extend the results of previous research that has included information from business and consumer surveys to explain the behaviour of macroeconomic variables, but are not conclusive about its role.
publishDate 2006
dc.date.none.fl_str_mv 2006
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/45246
url https://hdl.handle.net/2445/45246
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: http://dx.doi.org/10.1016/j.ijforecast.2006.04.004
International Journal of Forecasting, 2006, vol. 23, num. 1, p. 47-69
http://dx.doi.org/10.1016/j.ijforecast.2006.04.004
dc.rights.none.fl_str_mv (c) Elsevier B.V., 2006
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Elsevier B.V., 2006
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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