N° 832 Extracting Information of the Economic Activity from Business and Consumer Surveys in an Emerging Economy (Chile)
Authors: Camila Figueroa y Michael Pedersen
Categoría: Working Papers

The Working Paper Series of the Central Bank of Chile disseminates economic research conducted by Central Bank staff or third parties under the sponsorship of the Bank. The purpose of the series is to contribute to the discussion of relevant issues and develop new analytical or empirical approaches in their analysis. The only aim of the Working Papers is to disseminate preliminary research for its discussion and comments. Publication of Working Papers is not subject to previous approval by the members of the Board of the Central Bank. The views and conclusions presented in the papers are exclusively those of the author(s) and do not necessarily reflect the position of the Central Bank of Chile or of the Board members.

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Information Brief

The present paper discusses the extent to which business and consumer survey observations are useful for predicting the Chilean activity. The two surveys examined are called IMCE and IPEC, after their Spanish abbreviations, for the business and consumer survey, respectively. The baseline exercises consist in simple calculations of cross correlations between the surveys and activity variables, test for Granger causality and augmentation of autoregressive activity models with survey data to evaluate if the now- and forecast performances are improved. The evidence suggests that both surveys, in general, contain useful information for making predictions of the Chilean activity, particularly for the longer horizons. An additional exercise indicates that the data in the two surveys are complementary in the sense that the longer horizon forecasts improve further when both of them are included in the econometric model.