The Predictive Content of Business Survey Indicators: Evidence from SIGE

39 Pages Posted: 27 Jan 2016

Date Written: September 22, 2015

Abstract

Business survey 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 the predictive content of business surveys by examining the leading properties of the main business survey indicators of 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 the national accounts reference series. We further analyse the ability of SIGE indicators to detect turning points using both discrete and continuous dynamic single equation models as compared with their benchmark (B)ARIMA models. Overall, the results indicate that SIGE business indicators are able to make detect early the turning points of their corresponding national account reference series. These findings are very important from a policy-making point of view.

Keywords: business cycle, business survey data, turning points, cyclical analysis, forecast accuracy, macroeconomic forecasts

JEL Classification: C32, E32

Suggested Citation

Cesaroni, Tatiana and Iezzi, Stefano, The Predictive Content of Business Survey Indicators: Evidence from SIGE (September 22, 2015). Bank of Italy Temi di Discussione (Working Paper) No. 1031, Available at SSRN: https://ssrn.com/abstract=2722518 or http://dx.doi.org/10.2139/ssrn.2722518

Tatiana Cesaroni (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Stefano Iezzi

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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