On the Predictive Content of Production Surveys: A Pan-European Study

35 Pages Posted: 26 Aug 2006

See all articles by Aurelie Lemmens

Aurelie Lemmens

Tilburg University

Christophe Croux

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Catholic University of Leuven (KUL) - Department of Applied Economics

M. G. Dekimpe

Catholic University of Leuven (KUL) - Department of Applied Economics; Erasmus Research Institute of Management (ERIM)

Date Written: February 20, 2004

Abstract

For over forty years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive accuracy of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests, which has resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country influences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Specifically, the multivariate El-Himdi and Roy test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint effect is indeed due to cross-country influences, and to determine which countries' expectation series have most "clout" in predicting the production levels in the other member countries, or have higher "receptivity", in that their production levels are Granger-caused by the other countries' expectations.

Keywords: business surveys, cross-correlations, production expectations, granger causality

JEL Classification: M, M31, C53, C44

Suggested Citation

Lemmens, Aurélie and Croux, Christophe and Dekimpe, Marnik, On the Predictive Content of Production Surveys: A Pan-European Study (February 20, 2004). ERIM Report Series Reference No. ERS-2004-017-MKT. Available at SSRN: https://ssrn.com/abstract=513776

Aurélie Lemmens (Contact Author)

Tilburg University ( email )

Tilburg, 5000 LE
Netherlands

Christophe Croux

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

Catholic University of Leuven (KUL) - Department of Applied Economics ( email )

Leuven, B-3000
Belgium

Marnik Dekimpe

Catholic University of Leuven (KUL) - Department of Applied Economics ( email )

Leuven, B-3000
Belgium
+32 16 326 957 (Phone)
+32 16 326 732 (Fax)

HOME PAGE: http://www.econ.kuleuven.ac.be/tew/academic/market/members/MarnikDekimpe.htm

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1715/9576 (Phone)
+31 10 408 9011 (Fax)

HOME PAGE: http://web.eur.nl/fbk/dep/dep3/about/members/people/mdekimpe

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