AQR-IREA, University of Barcelona, Diagonal, 690, 08034, Barcelona, Spain
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Forecasting the unemployment rate using the degree of agreement in consumer unemployment expectations
Published in Journal for Labour Market Research
This study aims to refine unemployment forecasts by incorporating the degree of consensus in consumers' expectations. With this objective, we first model the unemployment rate in eight European countries using the step-wise algorithm proposed by Hyndman and Khandakar (2008). The selected optimal autoregressive integrated moving average (ARIMA) mode...
Empirical modelling of survey-based expectations for the design of economic indicators in five European regions
Published in Empirica
In this study we use agents' expectations about the state of the economy to generate indicators of economic activity in twenty-six European countries grouped in five regions (Western, Eastern, and Southern Europe, and Baltic and Scandinavian countries). We apply a data-driven procedure based on evolutionary computation to transform survey variables...
Uncertainty indicators based on expectations of business and consumer surveys
Published in Empirica
In this study we evaluate the dynamic response of different macroeconomic variables to shocks in agents’ perception of three dimensions of uncertainty (economic, inflation and employment). First, we apply a geometric indicator to compute the proportion of disagreement in business and consumer expectations of eight European countries and the Euro Ar...
