Forecasting the unemployment rate using the degree of agreement in consumer unemployment expectations

Oscar Claveria

Journal for Labour Market Research, 2019, vol. 53, issue 1, Article 3

Abstract: "This study aims to refine unemployment forecasts by incorporating the degree of consensus in consumers' expectations. With this objective, we first model the unemployment rate in eight European countries using the step-wise algorithm proposed by Hyndman and Khandakar (J Stat Softw 27(3):1 - 22, 2008). The selected optimal autoregressive integrated moving average (ARIMA) models are then used to generate out-of-sample recursive forecasts of the unemployment rates, which are used as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment, based on the degree of agreement in consumer unemployment expectations, and a measure of disagreement based on the dispersion of expectations. In both cases, we obtain an improvement in forecast accuracy in most countries. These results reveal that the degree of agreement in consumers' expectations contains useful information to predict unemployment rates, especially for the detection of turning points." (Author's abstract, © Springer-Verlag) ((en))

Keywords: Bundesrepublik Deutschland; Frankreich; Griechenland; Großbritannien; Italien; Niederlande; Österreich; Portugal; Erwartung; internationaler Vergleich; Prognosegenauigkeit; Prognoseverfahren; Arbeitslosenquote; Arbeitslosigkeit; Verbraucher; Verbraucherverhalten; Arbeitsmarktprognose; 2007-2017 (search for similar items in EconPapers)
JEL-codes: C51 C52 C53 D12 E24 (search for similar items in EconPapers)
Date: 2019-02-22
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://doi.org/10.1186/s12651-019-0253-4

Related works:
Journal Article: Forecasting the unemployment rate using the degree of agreement in consumer unemployment expectations (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iab:iabjlr:v:53:p:art.03

Ordering information: This journal article can be ordered from
https://www.springer.com/economics/journal/12651

DOI: 10.1186/s12651-019-0253-4

Access Statistics for this article

Journal for Labour Market Research is currently edited by Joachim Möller et al.

More articles in Journal for Labour Market Research from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] Contact information at EDIRC.
Bibliographic data for series maintained by IAB, Geschäftsbereich Wissenschaftliche Fachinformation und Bibliothek ().