Assessing Forecasting Performance of Business Tendency Surveys During the Great Recession: Evidence for Russia

KOF Working Papers No. 306

17 Pages Posted: 4 Jul 2012 Last revised: 12 Feb 2013

See all articles by Boriss Siliverstovs

Boriss Siliverstovs

KOF Swiss Economic Institute

Sergey V. Smirnov

National Research University Higher School of Economics

Sergey Tsukhlo

Gaidar Institute for Economic Policy

Date Written: July 1, 2012

Abstract

This study investigates usefulness of business tendency surveys in industrial sector for out-of-sample prediction of growth of industrial production in Russia. A special attention is paid to performance of survey-augmented models during the recent Great Recession 2008/2009. Using the real-time data vintages of the index of industrial production in Russia we conclude that the use of surveys positively contributes to boosting forecast accuracy of industrial production compared with forecasts based on a benchmark univariate autoregressive model.

Keywords: The Great Recession, business tendency surveys, forecasting, model selection, Autometrics, Russia

JEL Classification: C53, E37

Suggested Citation

Siliverstovs, Boriss and Smirnov, Sergey V. and Tsukhlo, Sergey, Assessing Forecasting Performance of Business Tendency Surveys During the Great Recession: Evidence for Russia (July 1, 2012). KOF Working Papers No. 306, Available at SSRN: https://ssrn.com/abstract=2099204 or http://dx.doi.org/10.2139/ssrn.2099204

Boriss Siliverstovs (Contact Author)

KOF Swiss Economic Institute ( email )

Weinbergstrasse 35
Zurich, 8092
Switzerland

Sergey V. Smirnov

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Sergey Tsukhlo

Gaidar Institute for Economic Policy ( email )

3-5 Gazetny Lane
Moscow, 125009
Russia

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