Does confidence data help forecast business cycles? New evidence from Canada

Kevin Moran, Simplice Aimé Nono and Imad Rherrad ()

Applied Economics, 2019, vol. 51, issue 21, 2289-2312

Abstract: This paper assesses the contribution of confidence – or sentiment – data for predicting Canadian economic slowdowns. A probit framework is applied to an indicator of the status of the Canadian business cycle produced by the OECD. Explanatory variables include all available Canadian data on sentiment (from four distinct surveys) as well as macroeconomic and financial data. Sentiment data are introduced either as individual variables, as simple averages (such as confidence indices) and as confidence factors extracted from larger datasets containing all available sentiment data. Results indicate that the full potential of confidence data for forecasting Canadian business cycles obtains when factor models are used and all confidence data are utilized.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2018.1542119 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:applec:v:51:y:2019:i:21:p:2289-2312

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2018.1542119

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().