The Use of the Sentiment Economic Indicator for GDP Forecasting: Evidence from EU Economies

Statistika: Statistics and Economy Journal

关键词: Business cycle;    forecasting error analysis;    short-term GDP forecasting;    sentiment economic indicator;   

DOI  :  

来源: DOAJ

【 摘 要 】

The paper presents a quantitative analysis of the possibilities of Sentiment Economic Indicator based on the joint harmonized EU programme of business and consumer surveys to forecast quarterly GDP growths as a result of the publication lag of the data on GDP. We construct ARMAX models in some cases augmented by the GARCH models to capture the relationship between quarterly changes in GDP and the Sentiment Economic Indicator. The models show some forecasting power of the indicator for approximately half the sample. We show that only for some of the models the forecasting power of the ARMAX / GARCH models actually beats that of a simple ARMA model. We also show that the turbulences in 2007–2008 had a detrimental impact on the relationship between the Indicator and GDP. With the use of the results of rolling forecasts we run a panel regression to test whether or not the forecast errors are dependent on the magnitude of the quarterly changes in GDP. In the applied sample we have found out that the forecasting errors are not dependent on this factor.

【 授权许可】

Unknown