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Mixed frequency composite indicators for measuring public sentiment in the EU

Author

Listed:
  • Raffaele Mattera

    (Sapienza University of Rome
    University of Naples “Federico II”)

  • Michelangelo Misuraca

    (University of Calabria)

  • Maria Spano

    (University of Naples “Federico II”)

  • Germana Scepi

    (University of Naples “Federico II”)

Abstract

Monitoring the state of the economy in a short time is a crucial aspect for designing appropriate and timely policy responses in the presence of shocks and crises. Short-term confidence indicators can help policymakers in evaluating both the effect of policies and the economic activity condition. The indicator commonly used in the EU to evaluate the public opinion orientation is the Economic Sentiment Indicator (ESI). Nevertheless, the ESI shows some drawbacks, particularly in the adopted weighting scheme that is static and not country-specific. This paper proposes an approach to construct novel composite confidence indicators, focusing on both the weights and the information set to use. We evaluate these indicators by studying their response to the policies introduced to contain the COVID-19 pandemic in some selected EU countries. Furthermore, we carry out an experimental study where the proposed indicators are used to forecast economic activity.

Suggested Citation

  • Raffaele Mattera & Michelangelo Misuraca & Maria Spano & Germana Scepi, 2023. "Mixed frequency composite indicators for measuring public sentiment in the EU," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2357-2382, June.
    • Handle: RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01468-9
    DOI: 10.1007/s11135-022-01468-9
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