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Expectations and perceptions obtained in surveys play an important role in designing the monetary policy. In this paper we construct continuous variables from the qualitative responses of the Colombian Economic Expectation Survey (EES). This survey examines the perceptions and expectations on different economic variables. We use the methods of quan...
Context in source publication
Context 1
... increase in total prices of raw materials (domestic or imported) to buy in the next 12 months, compared with the total prices of raw materials purchased in the past 12 months is expected to be: a) Higher, b) Lower, c) The same (See Figure 2). The indicator used as reference is the annual variation Producer Price In- dex, obtained from the natinal statistical office in Colombia DANE. ...
Citations
... The balance statistic has been widely used to test economic hypothesis (Girardi 2014; Jean-Baptiste 2012; Zárate et al. 2012;Schmeling and Schrimpf 2011;Ö sterholm 2011, 2012;Paloviita 2006;Pesaran and Weale 2006;Lemmens et al. 2005Lemmens et al. , 2008Pehkonen 1992;Ivaldi 1992;Batchelor and Dua 1992;Ilmakunnas 1989;Pesaran 1984Pesaran , 1985Pesaran , 1987. Balances have also been used as explanatory variables in economic models (Altug and Ç akmakli 2016;Guizzardi and Stacchini 2015;Martinsen et al. 2014;Ghonghadze and Lux 2012;Robinzonov et al. 2012;Lui et al. 2011a, b;Schmeling and Schrimpf 2011;Franses et al. 2011;Klein and Ö zmucur 2010;Graff 2010;Claveria et al. 2007;Abberger 2007;Mitchell et al. 2005a;Hansson et al. 2005;Mittnik and Zadrozny 2005;Batchelor and Dua 1998;Kauppi et al. 1996;Parigi and Schlitzer 1995;Bergström 1995;Rahiala and Teräsvirta 1993;Biart and Praet 1987). ...
In this paper we propose a data-driven approach for the construction of survey-based indicators using large data sets. We make use of agents’ expectations about a wide range of economic variables contained in the World Economic Survey, which is a tendency survey conducted by the Ifo Institute for Economic Research. By means of genetic programming we estimate a symbolic regression that links survey-based expectations to a quantitative variable used as a yardstick, deriving mathematical functional forms that approximate the target variable. We use the evolution of GDP as a target. This set of empirically-generated indicators of economic growth, are used as building blocks to construct an economic indicator. We compare the proposed indicator to the Economic Climate Index, and we evaluate its predictive performance to track the evolution of the GDP in ten European economies. We find that in most countries the proposed indicator outperforms forecasts generated by a benchmark model.
... The balance statistic has been widely used in applied economics, both as the regressors in quantitative forecasts models (Guizzardi and Stacchini, 2015;Martinsen et al., 2014;Ghonghadze and Lux, 2012;Robinzonov, 2012;Lui et al., 2011a,b;Schmeling and Schrimpf, 2011;Franses et al., 2011;Klein and Özmucur, 2010;Graff, 2010;Claveria and Datzira, 2010;Claveria et al., 2007;Abberger, 2007;Mitchell et al., 2005a;Hansson et al., 2005;Mittnik and Zadrozny, 2005;Batchelor and Dua, 1998;Kauppi et al., 1996;Parigi and Schlitzer, 1995;Bergström, 1995;Rahiala and Teräsvirta, 1993;Biart and Praet, 1987), and also to test economic hypothesis (Girardi, 2014;Jean-Baptiste, 2012, Zárate et al., 2012Schmeling and Schrimpf, 2011;Österholm, 2011, 2012;Paloviita, 2006;Pesaran and Weale, 2006;Lemmens et al., 2005Lemmens et al., , 2008Pehkonen, 1992;Ivaldi, 1992;Batchelor and Dua, 1992;Ilmakunnas, 1989;Pesaran, 1987Pesaran, , 1985Pesaran, , 1984. ...
Tendency surveys are the main source of agents’ expectations. This study has a twofold aim. First, it proposes a new method to quantify survey-based expectations by means of symbolic regression (SR) via genetic programming. Second, it combines the main SR-generated indicators to estimate the evolution of GDP, obtaining the best results for the Czech Republic and Hungary. Finally, it assesses the impact of the 2008 financial crisis, finding that the capacity of agents’ expectations to anticipate economic growth in most Central and Eastern European economies improved after the crisis.
This paper examines the role of clustering techniques to assist in the selection of the most indicated method to model survey-based expectations. First, relying on a Self-Organizing Map (SOM) analysis and using the financial crisis of 2008 as a benchmark, we distinguish between countries that show a progressive anticipation of the crisis, and countries where sudden changes in expectations occur. We then generate predictions of survey indicators, which are usually used as explanatory variables in econometric models. We compare the forecasting performance of a multi-layer perceptron (MLP) Artificial Neural Network (ANN) model to that of three different time series models. By combining both types of analysis, we find that ANN models outperform time series models in countries in which the evolution of expectations shows brisk changes before impending shocks. Conversely, in countries where expectations follow a smooth transition towards recession, autoregressive integrated moving-average (ARIMA) models outperform neural networks.
