Pouvoir prédictif des données d'enquête sur la confiance

Authors: Benson, Marie Anne
Advisor: Moran, Kevin
Abstract: Confidence survey data are time series containting the responses to questions aiming to measure confidence and expectations of economic agents about future economic activity. The richness of these data and their availability in real time attracts the interest of many forecasters who see it as a way to improve their traditional forecasts. In this thesis, I assess the predictive power of survey data for the future evolution of Canadian GDP, while comparing the forecasting performance of the Conference Board of Canada own confidence indices to the indicators I construct using principal component analysis. Using three simple linear models, I carry out an out-of-sample forecasting experiment with rolling windows on the period 1980 to 2019. The results show that principal component analysis provides better-performing indicators than the indices produced by the Conference Board. However, the results of the study cannot show that clear that confidence improves forecasting unambiguently once the lagged growth rate of GDP is added to the analysis.
Document Type: Mémoire de maîtrise
Issue Date: 2021
Open Access Date: 28 June 2021
Permalink: http://hdl.handle.net/20.500.11794/69497
Grantor: Université Laval
Collection:Thèses et mémoires

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