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Assessing the Short-term Forecasting Power of Confidence Indices

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  • Euler Pereira G. de Mello
  • Francisco Marcos R. Figueiredo

Abstract

This paper assesses the predictive power of the main confidence índices available in Brazil to forecast economic activity. More specifically, we consider a set of economic activity variables and, for each of those, compare the predictive power of a univariate autoregressive model to that of a similar model that includes confidence index. Preliminary results using the Diebold Mariano test suggest that the Industry Confidence Index (ICI) provides relevant information, for both present and the near future, on some economic activity variables of interest to the economic agents.

Suggested Citation

  • Euler Pereira G. de Mello & Francisco Marcos R. Figueiredo, 2014. "Assessing the Short-term Forecasting Power of Confidence Indices," Working Papers Series 371, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:371
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    References listed on IDEAS

    as
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