WAVELET COMOVEMENT ANALYSIS BETWEEN TENDENCY SURVEYS AND ECONOMIC ACTIVITY IN TURKEY

Abstract

─Abstract ─ It is now common practice to measure economy-wide expectations so that additional information on the future path of economic variables like growth, unemployment and inflation could be extracted. The well-known methodology is to use tendency surveys, which cover producers and/or consumers. Following Yıldırım (2002), this paper is an attempt to assess whether there is any considerable pattern of comovement between selected macroeconomic variables (growth, unemployment and inflation) and tendency surveys (the Consumer Tendency Survey-CTS and Business Tendency Survey-BTS) in Turkey. Our originality is that we employ the wavelet comovement analysis, developed by Rua (2010), which is a strong methodological improvement combining the measures of comovement in time and frequency domain. We use monthly data to examine the period of January 2007 – March 2011 so that our analysis involves pre- and post- global financial and economic crisis. Our findings show that business tendency surveys exhibit significant comovement with industrial production and inflation in high and low frequency. On the other hand, consumer tendency surveys follow similar patterns with the change in inflation in high frequency especially during the global crisis period of 2009

Keywords

• Consumer Tendency Survey, Business Tendency Survey, Industrial Production, Wavelet Comovement Analysis

Kaynakça

1. Abberger, Klaus (2007), “Qualitative business surveys and the assessment of employment — A case study for Germany”, International Journal of Forecasting, 23, pp.249–258
2. Arnold, Ivo J. and Jan J.G. Lemmen (2006), “Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data”, CESIFO Working Paper No.1667.
3. Bialowolski, Piotr (2011), “Forecasting Inflation with Consumer Survey Data – Application of Multi-Group Confirmatory Factor Analysis to Elimination of the General Sentiment Factor”, presented at the CIRET/KOF/HSE Workshop on National Business Cycles in the Global World, Moscow, September 16-17, 2011
4. Bram, Jason, and Sydney Ludvigson, (1998), “Does consumer confidence forecast household expenditure? A sentiment index horse race”, Federal Reserve Bank of New York Economic Policy Review, 59–78. Chindamo, Phillip (2010) The Predictive Ability of Business Survey Indices, Economic Papers, Vol. 29, No.4, pp.466-482.
5. Claveria, Oscar, Ernest Pons and Jordi Suriflach (2006), “Quantification of Expectations. Are They Useful for Forecasting Inflation?”, Economic Issues, Vol. 11, No.2, pp.19-38.
6. Cornec, Matthieu and Fanny Mikol (2011), “Nowcasting GDP directional change with an application to French business survey data”, presented at the CIRET/KOF/HSE Workshop on National Business Cycles in the Global World, Moscow, September 16-17, 2011
7. Cristadoro, Riccardo, Mario Forni, Lucrezia Reichlin and Giovanni Veronese (2005), “A Core Inflation Indicator for the Euro Area”, Journal of Money, Credit and Banking, Vol. 37, No. 3, pp. 539-560. Croushore, Dean (2005), “Do consumer-confidence indexes help forecast consumer spending in real time?”, North American Journal of Economics and Finance, 16, pp.435–450.
8. Darne, Olivier (2008), “Using business survey in industrial and services sector to nowcast GDP growth: The French case”, Economics Bulletin, Vol. 3, No. 32 pp. 1-8.

9. Diron, Marie (2006), “Short-term forecasts of Euro Area Real GDP Growth”, European Central Bank Working Paper No 622, Germany.
10. Hansson, Jesper, Per Jansson and Marten Löf (2005), “Business survey data Do they help in forecasting GDP growth?”, International Journal of Forecasting, 21, pp.377– 389.
11. Howrey, E. Philip (2001), “The predictive power of the index of consumer sentiment”, Brookings Papers on Economic Activity, 1, pp.175–207.
12. Kaaresvirta, Juuso and Aaron Mehrotra (2009), “Business surveys and inflation forecasting in China”, Economic Change & Restructuring, Vol. 42, Issue.4, pp.263-271.
13. Kabundi, Alain (2004), “Estimation of Economic Growth in France Using Business Survey Data”, IMF Working Paper Number WP/04/69.
14. Klein, Lawrence R. and Süleyman Özmucur (2010), “The use of consumer and business surveys in forecasting”, Economic Modelling, Vol.27, No.6, pp.1453- 1462.
15. Leeper, Eric M. (1992), “Consumer attitudes: King for a day”, Economic Review, pp.1–15, Federal Reserve Bank of Atlanta. Lemmon, Michael and Evgenia Portniaguina (2006), “Consumer Confidence and Asset Prices: Some Empirical Evidence”, Review of Financial Studies, Vol. 19, No. 4, pp. 1499-152.
16. Lemmens, Aurélie, Christophe Croux and Marnik G. Dekimpe (2007), “Consumer confidence in Europe: United in diversity?”, International Journal of Research in Marketing, 24, pp.113-127.
17. Lovell, Michael C. (1975) “Why was the consumer feeling so sad?”, Brookings Papers on Economic Activity, 2, pp.473-9. Mishkin, Frederic S. (1978), “Consumer sentiment and spending on durable goods”, Brookings Papers on Economic Activity, pp.217–232.
18. Mueller, Eva (1966), “The Impact of Unemployment on Consumer Confidence”, Public Opinion Quarterly, Vol. 30, No.1, pp.19-33.
19. Ramalho, Esmeralda A., António Caleiro and Andreia Dionfsin (2011), “Explaining consumer confidence in Portugal”, Journal of Economic Psychology, 32, pp.25–32.
20. Rua, António (2010), “Measuring comovement in the time–frequency space”, Journal of Macroeconomics, Volume 32, Issue 2, pp. 685-691.