Economic Sentiment Research Articles

패널자료를 이용한 보증기업경기실사지수(GBSI)가 보증수혜업체의 경제심리 관계성에 미치는 영향

지역신용보증재단의 보증수혜업체 2,856개 보증기업경기실사지수(GBSI)자료를 통해 신용보증재단 중앙회에서 조사하는 분기별 경기, 매출, 영업이익, 자금사정에 대한 관계성과 조사자료의 시간적 변화가 조사항목 간 동일한 관계성과 분기별 영향력 차이에 대해 검증하였다. 조사항목 간의 영향력 관계 검증연구는 중소기업의 정책결정을 위해 매우 의미있는 자료로 활용될 것이다. 연구결과 2016년 1/4분기 조사항목의 모형을 구성한 가설 1~6이 유의한 것으로 검증되었고, 분기별 조사내역의 정확성 파악을 위한 2016년 2/4분기 가설 7~12도 모두 채택되어 연구 변수로 채택된 조사항목이 기업경기실사지수의 영향력 조사항목에 일치됨을 확인하였다. 분기별 조사항목의 시간적 변화 관계성 검증은 가설 13~16으로 제시하였는데, 자금사정에 대한 가설 16만 채택되어 경기, 매출, 영업이익의 시간적 관계성은 없는 것으로 나타났다. 본 연구는 신용보증재단중앙회에서 조사하는 GBSI의 조사항목간 관계성과 영향력을 분석하고, 항목 간 시계열적 변화 및 영향력을 통해 분석된 정보를 중심으로 신용보증재단이 소기업, 소상공인을 위한 보증지원 정책을 수립하는데 필요한 주요 기초자료를 제공하고자 한다.

Measuring economic sentiment using ordinary response options

Economic sentiment is typically measured using ordinary response options. The University of Michigan and the United States Conference Board are two widely used major indexes that have separately established independent consumer sentiment indexes based on three-level ordinary response options: positive, neutral, and negative. Notwithstanding, limited attention has been paid to the structural differences in their built-in formulas, which are referred to the disparate micro scoring schemes applied to an individual question. This paper examines the structural difference of the two indexes and then addresses situations where one is more reliable than the other. Real data from business tendency surveys of the Organization for Economic Cooperation and Development are used to illustrate our points empirically. As a conclusion, it is stressed that the two indexes should be handled with care when applied to economic sentiment comparison studies.

The Statistical Measurement of Business Conditions for Small Entrepreneurs

A specific feature of business conditions surveys describing actual and expected short-term trends of company financial and economic activities is the non-quantitative nature of the relevant data. To facilitate its interpretation and visualisation for various user groups, the respondents’ answers are typically aggregated into simple and composite indicators (CI). This study proposes, tests, and validates conceptual and information measurement hypotheses for building and applying such CI, which provide an integrated assessment of small entrepreneur (SE) economic sentiment. These CI demonstrate a strong, statistically significant correlation with growth cycles of reference statistical indicators. A theoretical model for building CI to measure business conditions for SE is presented, and a relevant toolset is described. Industry-specific features of building business conditions indicators are illustrated using the retail and wholesale sectors as examples. New opportunities for the visualisation and analytical presentation of the cyclic profiles of indicators are demonstrated, based on tracers tracking their phase-to-phase movement. New information and analysis-related areas are identified for the application of nonparametric data to estimate the current state and expected development of SE.

Explaining Private Debt

The paper examines the relationship between more than 30 macroeconomic variables and debt-to-GDP ratios for the household, non-financial corporation and aggregate debt in a panel of European Union countries. The GDP level and the ratio of house prices to income are found to be positively correlated with the debt-to-GDP ratio, whereas the real interest rate, the inflation rate, economic sentiment and the government debt level are negatively correlated with the debt-to-GDP ratio. Low interest rates and the house price-to-income ratio predict growth in the future debt-to-GDP ratio. Moreover, countries that have had a financial crisis have typically gone through a period of deleveraging afterwards.

Measuring News Sentiment

This paper demonstrates state-of-the-art text sentiment analysis tools while developing a new time-series measure of economic sentiment derived from economic and financial newspaper articles from January 1980 to April 2015. We compare the predictive accuracy of a large set of sentiment analysis models using a sample of articles that have been rated by humans on a positivity/negativity scale. The results highlight the gains from combining existing lexicons and from accounting for negation. We also generate our own sentiment-scoring model, which includes a new lexicon built specifically to capture the sentiment in economic news articles. This model is shown to have better predictive accuracy than existing, “off-the-shelf”, models. Lastly, we provide two applications to the economic research on sentiment. First, we show that daily news sentiment is predictive of movements of survey-based measures of consumer sentiment. Second, motivated by Barsky and Sims (2012), we estimate the impulse responses of macroeconomic variables to sentiment shocks, finding that positive sentiment shocks increase consumption, output, and interest rates and dampen inflation.

More than a Feeling: Confidence, Uncertainty and Macroeconomic Fluctuations

Economists, observers and policy-makers often emphasize the role of sentiment as a potential driver of the business cycle. In this paper we provide three contributions to this debate. First, we give a concise overview of the recent literature on sentiment (considering both confidence and uncertainty) and economic activity. Second, we review existing empirical measures of sentiment, in particular consumer confidence, stock market volatility (SMV) and Economic Policy Uncertainty (EPU), on monthly data for 27 countries, 1985-2016. Third, we identify some new stylized facts based on international evidence. While different measures are surprisingly lowly correlated on average in each country, they are typically highly positively correlated across countries, suggesting the existence of a global factor. Consumer confidence has the closest co-movement with economic and financial variables, and most of the correlations are contemporaneous or forward-looking, consistent with the view that economic sentiment is indeed a driver of activity. JEL Classification: E32, E71, F44, G15, G41

Australia's foreign investment policy: an historical perspective

Why did Australia, historically open to overseas capital, turn to restrictive policy in the early 1970s, only to significantly liberalise again from the mid-1980s? Furthermore, why has the regulatory apparatus of Australia's Foreign Investment Review Board (FIRB), established in the illiberal mid-1970s, been little changed over the last four decades, despite a return to relative openness? The paper finds that the initial illiberal turn arose from the changing sectoral and country-of-origin mix of foreign investment, a less liberal domestic and international ideational climate FDI, and from oppositional policy entrepreneurship. Liberalisation followed growing external imbalances, elite neo-liberal ideational change and transformative public leadership. The FIRB mechanism placated populist economic nationalist sentiment while allowing liberal policy in general, yet also tailored to the public and private interest logics of specific investment proposals. Remaining sectoral restrictions reflect both private interest influences and sector-specific public interest sensitivities.

How to Predict Financial Stress? An Assessment of Markov Switching Models

This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Whereas the in-sample analysis suggests that these indicators can provide an early warning signal up to several quarters prior to the respective regime change, the out-of-sample findings indicate that most of this performance is owing to the data gathered during the global financial crisis. Comparing the prediction performance with a standard binary early warning model reveals that the Markov switching model is outperforming the vast majority of model specifications for a horizon up to three quarters prior to the onset of financial stress.

Predicting the probability of recession in Croatia: Is economic sentiment the missing link?

This paper aims to assess the possibility of predicting Croatian recessionary episodes using probit models. The authors first estimate a baseline static model using four leading indicators of recession (monetary base, unemployment, industrial production, and CROBEX stock market index). Lag lengths of up to 6 months are examined for each of the observed variables in the probit specification, and several important conclusions arise from the estimated models. First, the stock market and money supply exhibit the most pronounced leading characteristics in the Croatian economy (a 3-month lag length is selected by the information criteria). Second, the dynamic model (including a lagged dependent dummy variable) significantly outperforms the baseline static model. Third, the authors augment the probit model by the Economic Sentiment Indicator, which significantly contributes to the model accuracy. The latter confirms the main hypothesis of the paper, going in line with the assertion that psychological factors largely govern the economic cycles, growing in significance in times of economic hardship.

“Voting with their Feet” in Times of Crisis: The Case of Southern Europe

Abstract The paper assesses the effect of economic sentiment when combined with the fiscal surplus offered on a Tiebout like migration process, taking place among potential southern European migrants in times of crisis. With an extended sample to incorporate the latest data available and by focusing on the region that was, and still is most heavily affected by the economic crisis, we employ a conditional logit model to find that locational choices are determined by public policies as those are offered to potential migrants in the form of public spending and taxes, the perception of economic opportunities as they are expressed through economic sentiment indicators, while the effect of labor market conditions is consistent and highly relevant. As most of the countries of Southern Europe have entered fiscal adjustment programmes, the discussion becomes particularly relevant as it adds a new dimension to the on-going and heated debate of a significant brain drain from the south to the north of Europe. JEL Cla...

Forecasting Macedonian Business Cycle Turning Points Using Qual Var Model

Abstract This paper aims at assessing the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the economic sentiment indicator (ESI) within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic conditions. We further proceed analyzing how well an extended set of indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results show that the use of survey-based indicators as a complement to macroeconomic data work satisfactory well in capturing the business cycle developments in Macedonia.

Just the Facts? Partisan Media and the Political Conditioning of Economic Perceptions

This paper analyzes the effects of biases in economic information on partisans’ economic perceptions. In survey experiments, I manipulate the presence of partisan cues and the direction of proattitudinal information in news stories about the American economy. Results demonstrate that although proattitudinal tone in factual economic news stories most strongly affects partisans’ economic perceptions, inclusion of partisan cues alongside proattitudinal information results in weaker shifts in economic sentiment relative to stories lacking partisan content. These findings suggest that the relatively subtle process of agenda setting in economic news may be the most effective tool used by partisan news outlets to drive polarization in citizens’ factual economic perceptions.

Sentiment-Driven Asymmetries in Romanian Monetary Policy Transmission

A threshold Bayesian VAR model is applied to study nonlinearities in Romania’s monetary policy transmission mechanism, with the transition variable represented by the Economic Sentiment Indicator. The model identifies four major episodes with respect to the confidence stance during the 1997–2014 period: the two low-confidence episodes are related, respectively, to the Asian crisis (late 1990s) and the Great Recession (2009–2013 observations), while the two high-confidence episodes consist of the economic boom of 2000–2008 and the current restored sentiment stage. Output and prices react differently to monetary policy and to exchange-rate shocks during the two regimes. A counterfactual experiment proves that the heterogeneities are driven by changes to the overall macroeconomic transmission framework, as well as to the central bank’s reaction function. An alternative specification with industry confidence rather than aggregate economy confidence suggests that, following the recent crisis, firms’ sentiment recovered much faster than that of consumers and the services sector.

Fiscal policy and private investment in Greece

This paper investigates the effects of fiscal policy on private non-residential investment and output in Greece. Besides examining the direct effects of fiscal consolidation, we investigate the role of financial markets and economic sentiment in the transmission of fiscal policy shocks. A tax based fiscal consolidation has more pronounced and more protracted negative effects on output and private non-residential investment relative to an expenditure based fiscal consolidation. A government spending-based fiscal consolidation improves financial markets and boosts economic sentiment. This in turn mitigates the direct negative effects of fiscal consolidation on private investment and output leading to a more rapid recovery. On the other hand, a tax hike fails to induce this positive confidence effect magnifying the negative effects of fiscal adjustment.

The predictive power of the business and bank sentiment of firms: A high-dimensional Granger Causality approach

We study the predictive power of industry-specific economic sentiment indicators for future macro-economic developments. In addition to the sentiment of firms towards their own business situation, we study their sentiment with respect to the banking sector – their main credit providers. The use of industry-specific sentiment indicators results in a high-dimensional forecasting problem. To identify the most predictive industries, we present a bootstrap Granger Causality test based on the Adaptive Lasso. This test is more powerful than the standard Wald test in such high-dimensional settings. Forecast accuracy is improved by using only the most predictive industries rather than all industries.

Investor sentiment and share returns: evidence on family firms

Purpose The purpose of this paper is to examine the effect of investor sentiment on share returns, exploring whether this effect is different for public family and non-family firms. Design/methodology/approach The author uses the European Economic Sentiment Indicator data, from Directorate General for Economic and Financial Affairs as a proxy for investor sentiment and focused on the share returns of family and non-family firms, using panel data methodology. Findings Using data from listed family and non-family firms for the period between 1999 and 2011, in accordance with behavioural finance theory, the results indicate that there is a negative relationship between sentiment and share returns. In addition, the author found no difference between family and non-family firms in what concerns the effect of sentiment on share returns. The evidence also suggests that young, large and medium growth firms are most affected by sentiment. Finally, the results suggest that the evidence concerning the relationship between sentiment and returns is sensitive to the proxy used to measure the sentiment. Research limitations/implications A limitation of this study is the small size of the sample, which is due to the small size of the Portuguese stock market, the Euronext Lisbon. Originality/value This paper offers some insights into the effect of investor sentiment on the share returns in the context of public family firms, a strand of finance that is scarcely developed. It also contributes to the analysis of a small European country, with a high concentration of equity ownership.

The Impact of Conventional and Unconventional Monetary Policy on Expectations and Sentiment

This paper offers for the first time evidence on the effect of ECB’s unconventional monetary policy on economic expectations in Euro-area countries during the EU crisis. Our main findings indicate that conventional monetary policy has a positive effect on expectations and sentiment, while non-standard policies seem to have a negative effect. The second quantitative easing by the Fed had a positive effect on expectations mainly for the core Eurozone countries. Furthermore, ECB’s conventional monetary policy is an important contributor to the variance of Eurozone country economic sentiment, indicating an effective expectations transmission channel. During the EU financial crisis, Euro-area sentiment seems to have a contribution of 29%-33% to the US sentiment variance, while during the EU crisis conventional monetary policy appears to be the single most important net sender of shocks to both the core and the peripheral countries. Together, our findings highlight the importance of both conventional and unconventional monetary policy in the determination of economic expectations.

The US$// Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

The paper investigates the determinants of the US$/€ exchange rate since its introduction in 1999, with a special focus on the recent subprime mortgage and sovereign debt financial crises. The econometric model is grounded on the asset pricing theory of exchange rate determination, which posits that current Exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate the literature by conditioning on Fama-French and Charart risk factors, which directly measures changing market expectations about the economic outlook, as well as on new financial condition indexes and a large set of macroeconomic variables. The macro-finance augmented econometric model has a remarkable in-sample and out of sample predictive ability, largely outperforming a standard autoregressive specification neglecting macro-financial information. We also document a stable relationship between the US$/€-Charart momentum conditional correlation (CCW) and the euro area business cycle, potentially exploitable also within a system of early warning indicators of macro-financial imbalances. Comparison with available measures of economic sentiments shows that CCW yields a more accurate assessment, signaling a progressive weakening in euro area economic conditions since June 2014, consistent with the sluggish and scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015.

경제심리지수의 유용성 및 개선방안에 관한 연구

In order to effectively understand the perception of businesses and consumers, the Bank of Korea has released Economic Sentiment Index (ESI), a composite indicator of business survey index (BSI) and consumer survey index (CSI), since 2102. The usefulness of ESI has been widely recognized. However, there exists a margin for improvement in terms of its predictive power. In this study, we evaluated the usefulness of ESI and improved the ESI by complementing its defaults. Our results of empirical analysis proved that dynamic optimal weight navigation process using the sliding window method is very useful in determining the optimal weights of configurations item of ESI based on economic situation.

Using newspapers for tracking the business cycle: a comparative study for Germany and Switzerland

ABSTRACTThe use of news-based data for tracking the real economy has gained popularity recently as newspapers archives have become accessible and the need for timely information has soared. In this article, on the basis of keyword searches in newspaper articles we construct several versions of the so-called Recession-word Index (RWI) for Germany and Switzerland and exploit its use for forecasting. Our main findings are the following. First, we show that augmenting benchmark autoregressive models with the RWI leads to improvement in accuracy of one-step-ahead forecasts of GDP growth compared with those obtained by benchmark models. Second, the accuracy of out-of-sample forecasts obtained with models augmented with the RWI is comparable to that of models augmented with established economic indicators, such as the Ifo Business Climate Index and the ZEW Indicator of Economic Sentiment for Germany, and the KOF Economic Barometer and the Purchasing Managers Index in manufacturing for Switzerland. Our results are robust to changes in estimation/forecast samples, the use of rolling versus expanding estimation windows and the inclusion of a web-based recession indicator from Google Trends. As our indices are timely and simple to construct, they could be replicated in countries or regions where no reliable economic indicators exist or their provision is very costly.