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Do confidence indicators lead Greek economic activity?

Dimitrios Dimitriou (), Anastasios Pappas, Kazanas Thanassis and Dimitris Kenourgios ()

Bulletin of Applied Economics, 2021, vol. 8, issue 2, 1-15

Abstract: In this paper, we evaluate the role of several confidence indicators (i.e., Economic Sentiment Indicator, Consumer Confidence Indicator, Construction Confidence Indicator and Industrial Confidence Indicator) as leading indicators to GDP and its components such as Investments and Private Consumption. Our econometric evaluation performed by popular techniques such as: i) rolling correlation methodology ii) Granger causality iii) ARIMA benchmark model and iv) Kalman filter technique. The results suggest that the inclusion of confidence indicators does not improve substantially the forecasting ability of our econometric models as far as macroeconomic variables are concerned. Thus, we conclude that there is space for improvement of the predictive power of confidence indicators in Greece.

Keywords: Confidence indicators; GDP; Granger causality; ARIMA; forecasting (search for similar items in EconPapers)
JEL-codes: E21 E23 E37 (search for similar items in EconPapers)
Date: 2021
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