On The Predictive Content Of Production Surveys: A Pan-European Study

Aurélie Lemmens, Christophe Croux and Marnik Dekimpe

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: For over forty years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive accuracy of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests, which has resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country influences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Specifically, the multivariate El-Himdi and Roy test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint effect is indeed due to cross-country influences, and to determine which countries' expectation series have most "clout" in predicting the production levels in the other member countries, or have higher "receptivity", in that their production levels are Granger-caused by the other countries' expectations.

Keywords: business surveys; cross-correlations; granger causality; production expectations (search for similar items in EconPapers)
JEL-codes: C44 C53 M M31 (search for similar items in EconPapers)
Date: 2004-02-20
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