Investment forecasting with business survey data

Leandro D�Aurizio () and Stefano Iezzi
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Leandro D�Aurizio: Bank of Italy

No 832, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Business investment is a very important variable for short- and medium-term economic analysis, but it is volatile and difficult to predict. Qualitative business survey data are widely used to provide indicators of economic activity ahead of the publication of official data. Traditional indicators exploit only aggregate survey information, namely the proportions of respondents who report �up� and �down�. As a consequence, neither the heterogeneity of individual responses nor the panel dimension of microdata is used. We illustrate the use of a disaggregate panel-based indicator that exploits all information coming from two yearly industrial surveys carried out on the same sample of Italian manufacturing firms. Using the same sample allows us to match exactly investment plans and investment realisations for each firm and so estimate a panel data model linking individual investment realisations to investment intentions. The model generates a one-year-ahead forecast of investment variation that follows the aggregate dynamics with a limited bias.

Keywords: investment plans; dynamic panel data model; forecasting (search for similar items in EconPapers)
JEL-codes: C50 C52 C53 (search for similar items in EconPapers)
Date: 2011-11
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (3)

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