A Composite Economic Sentiment Indicator for Poland
This paper is a report on an empirical study on a composite economic sentiment indicator (CESI) for the Polish economy. The study is based on data obtained from business activity and household surveys (a substitute for a consumer survey) conducted by the RIED in Warsaw. The data included in the study covers the 1995-2003 period, and comes from the surveys in the following fields: manufacturing industry, construction, trade, agriculture, and households. A widely accepted criterion for a "good" CESI, as it properly replicates or predicts changes in the GDP, which is chosen as a reference quantity, is adopted. This paper consists of three parts. First provides general information on the project. In the second part, properties of a CESI calculated according to the joint harmonised EU program, and those of a CESI computed according to the RIED method are discussed, with a particular attention on their replicating and leading properties. In spite of differences in construction, the two indices look quite "parallel", therefore, a quantitative analysis-based attempt to explain this property is included. In the second part, the best CESI will be derived via a solution to a constrained optimisation problem. The minimised objective function is the sum of squares of deviations between the GDP series and a weighted average of sector indicators, with unknown constant weights. (original abstract)
- Adamowicz E., Klimkowska J., (2004), Business Survey Research in the RIED, Matkowski Z. (Ed.) Composite Indicators of Business Activity for Macroeconomic Analysis, Papers and Proceedings, RIED, SGH Warsaw, pp. 427-434.
- Matkowski Z., (2004), Economic Sentiment Indicators, Matkowski Z., (Ed.) Composite Indicators of Business Activity for Macroeconomic Analysis, Papers and Proceedings, RIED, SGH Warsaw, pp. 233-270.
- Nilsson R., (2004), Confidence Indicators and Composite Indicators, Matkowski Z. (Ed.) Composite Indicators of Business Activity for Macroeconomic Analysis, Papers and Proceedings, RIED, SGH Warsaw, pp. 111-138.
- OECD Composite Leading Indicators: a tool for short-term analysis. OECD Statistics - Leading Indicators, OECD website.