Assessing the Short-term Forecasting Power of Confidence Indices

Abstract

This paper assesses the predictive power of the
main confidence indices 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 a confidence index. Preliminary results using the Diebold
Mariano test suggest that the Industry Confidence Index provides
relevant information, for both present and the near future, on some
economic activity variables of interest to the economic agents.