On the Predictive Content of Production Surveys: A Pan-European Study
35 Pages Posted: 26 Aug 2006
Date Written: February 20, 2004
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: Suggested Citation