Business and consumer expectations and macroeconomic forecasts

International Journal of Forecasting

Volumn 23, Issue 1, 2007, Pages 47-69

  Claveria, Oscar ^a   Pons, Ernest ^a   Ramos, Raúl ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Business and consumer surveys; Forecast competition; Macroeconomic forecasts

Indexed keywords

EID: 33847236614     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2006.04.004     Document Type: Article

References (38)

1. Albert J., and Chib S. Bayesian inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts. Journal of Business and Economic Statistics 11 (1993) 1-15
2. Anderson O. Konjunkturtest und Statistik. Allgemeines Statistical Archives 35 (1951) 209-220
3. Anderson O. The business test of the IFO-Institute for economic research, Munich, and its theoretical model. Revue de l'Institut International de Statistique 20 (1952) 1-17
4. Anderson O., Bauer R.K., and Fels E. On the accuracy of short-term entrepreneurial expectations. Paper presented at the Montreal Meeting of the American Statistical Association (1954)
5. Bodo G., Golinelli R., and Parigi G. Forecasting industrial production in the Euro area. Empirical Economics 25 (2000) 541-561
6. Box G., and Cox D. An analysis of transformation. Journal of the Royal Statistical Society, Series B (1964) 211-264
7. Box G.E.P., and Jenkins G.M. Time series analysis: Forecasting and control (1970), Holden-Day, San Francisco
8. Carlson J.A., and Parkin M. Inflation expectations. Economica 42 (1975) 123-138
9. Clar, M., Duque, J. C., & Moreno, R. (in press). Forecasting business and consumer surveys indicators. A time series models competition. Applied Economics.
10. Claveria, O., Pons, E., & Suriñach, J., (in press). Quantification of expectations. Are they useful for forecasting inflation? Economic Issues.
11. Clements M., and Hendry D. Forecasting economic time series (1998), Cambridge University Press, Cambridge
12. Clements M., and Smith J. A Monte Carlo study of the forecasting performance of empirical SETAR models. Journal of Applied Econometrics 14 (1999) 123-141
13. Cooley T.F., and Prescott E.C. Estimation in the presence of stochastic parameter variation. Econometrica 44 (1976) 167-184
14. De Menil G., and Bhalla S. Direct measurement of popular price expectations. American Economic Review 65 (1975) 169-180
15. Defris L.V., and Williams R.A. Quantitative versus qualitative measures of price expectations. Economics Letters 2 (1979) 169-173
16. Diebold F.X., and Mariano R. Comparing predictive accuracy. Journal of Business and Economic Statistics 13 (1995) 253-263
17. Easaw J.Z., and Heravi S.M. Evaluating consumer sentiments as predictors of UK household consumption behavior: Are they accurate and useful?. International Journal of Forecasting 20 (2004) 671-681
18. Forsells M., and Kenny G. The rationality of consumer's inflation expectations: Survey-based evidence for the euro area. ECB Working Paper (2002) 163
19. Garrett T.A., Hernandez-Murillo R., and Owyang M.T. Does consumer sentiment predict regional consumption?. Review-Federal Reserve Bank of St. Louis 87 (2004) 123-135
20. Grasmann P., and Keereman F. An indicator-based short-term forecast for quarterly GDP in the euro area. Economic Paper 154 (2001) (European Commission)
21. Hamilton J. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (1989) 357-384
22. Hamilton J. Analysis of time series subject to changes in regime. Journal of Econometrics 45 (1990) 39-70
23. Hansen, B. (1997). Inference in threshold models. Unpublished manuscript.
24. Harvey A. The Kalman filter and its applications in econometrics and time series analysis. Methods of Operational Research 44 (1982) 3-18
25. Harvey A. Applications of the Kalman filter in econometrics. In: Bewley T. (Ed). Advances in econometrics: Fifth World Congress, Econometric Society Monograph Vol. 13 (1987), Cambridge University Press, Cambridge
26. Howrey E.P. The predictive power of the index of consumer sentiment. Brookings Papers on Economic Activity 1 (2001) 205-207
27. Kauppi E., Lassila J., and Terasvirta T. Short-term forecasting of industrial production with business survey data: Experience from Finland's great depression 1990-1993. International Journal of Forecasting 12 (1996) 373-381
28. Kim C.J. Dynamic linear models with Markov-Switching. Journal of Econometrics 60 (1994) 1-22
29. Papadia F. Inflationary expectations in the European economic communities countries. Empirical Economics 8 (1983) 187-202
30. Pesaran M.H. The limits to rational expectations (1987), Basil Blackwell, Oxford
31. Potter, S. (1999). Nonlinear time series modelling: An introduction. Federal Reserve Bank of New York, Mimeo.
32. Sédillot F., and Pain N. Indicators models of real GDP growth in selected OECD countries. ECO Working Paper (2003) 364
33. Seitz H. The estimation of inflation forecasts from business survey data. Applied Economics 20 (1988) 427-438
34. Souleles N.S. Expectations, heterogeneous forecast errors, and consumption: Micro evidence from the Michigan consumer sentiment surveys. Journal of Money, Credit, and Banking 36 (2004) 39-72
35. Theil H. On the time shape of economic microvariables and the Munich business test. Revue de l'Institut International de Statistique 20 (1952) 105-120
36. Theil H. Recent experiences with the Munich business test: An expository article. Econometrica 23 (1955) 184-192
37. Vuchelen J. Consumer sentiment and macroeconomic forecasts. Journal of Economic Psychology 25 (2004) 493-506
38. Zimmermann K.F. Analysis of business surveys. In: Pesaran M.H., and Schmidt P. (Eds). Handbook of applied econometrics, volume II: Macroeconomics (1999), Blackwell Publishers, Oxford