EUROPEAN
CENTRAL
BANK
WO R K I N G PA P E R S E R I E S
WORKING PAPER NO. 133
CAN CONFIDENCE
INDICATORS BE USEFUL TO
PREDICT SHORT TERM REAL
GDP GROWTH?
BY ANNABELLE MOUROUGANE
AND MORENO ROMA
March 2002
EUROPEAN
CENTRAL
BANK
WO R K I N G PA P E R S E R I E S
WORKING PAPER NO. 133
CAN CONFIDENCE
INDICATORS BE USEFUL TO
PREDICT SHORT TERM REAL
GDP GROWTH?
BY ANNABELLE MOUROUGANE
AND MORENO ROMA*
March 2002
* The authors work in the Directorate General Economics (EU Countries Division). The authors would like to thank G. Camba-Mendez,
F. Mongelli, F. Sédillot, J-P Villetelle and an anonymous referee as well as other ECB colleagues for useful comments. An earlier version
of the paper has been presented at the 21st International Symposium on Forecasting held in Atlanta, Georgia. The usual disclaimers
apply.
The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank.
© European Central Bank, 2002
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All rights reserved.
Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.
The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank.
ISSN 1561-0810
Contents
Abstract
4
Non-technical summary
5
1.
Introduction
6
2.
Model
9
3.
Data
10
4.
Empirical results
11
5.
Robustness Tests
5.1 An alternative specification of the model: the indicator in level
5.2 Use of the lagged indicator
5.3 Supplementing the basic models with a large set of variables
5.4 Allowing a richer dynamic for the confidence indicators
5.5 Supplementing the model with industrial production
5.6 Supplementing the model with a lagged dependent variable
5.7 Use of alternative indicators
14
14
14
15
15
16
16
17
6.
Is the relation between confidence indicators and real GDP stable overtime?
17
7.
Conclusions
20
References
21
Annexes
23
European Central Bank Working Paper Series
41
ECB • Working Paper No 133 • March 2002
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