Assessing the Short-term Forecasting Power of Confidence Indices

  • Euler Pereira de Mello Research Department (Depep), Banco Central do Brasil.
  • Francisco Figueiredo Research Department (Depep), Banco Central do Brasil.
Palavras-chave: Confidence indices, Economic activity, Forecasting.

Resumo

This paper assesses the predictive power of the
main confidence indices available in Brazil to forecast economic
activity. More specifically, we consider a set of economic activity
variables and, for each of those, compare the predictive power of a
univariate autoregressive model to that of a similar model that
includes a confidence index. Preliminary results using the Diebold
Mariano test suggest that the Industry Confidence Index provides
relevant information, for both present and the near future, on some
economic activity variables of interest to the economic agents.

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Publicado
2018-04-12
Como Citar
de Mello, E., & Figueiredo, F. (2018). Assessing the Short-term Forecasting Power of Confidence Indices. Economia Aplicada, 21(4), 713-727. https://doi.org/10.11606/ea139730
Seção
Artigos