Naslov
Nonlinear optimisation approach to proposing novel Croatian Industrial Confidence Indicator

Autori
Čižmešija, Mirjana ; Lukač, Zrinka ; Novoselec, Tomislav

Izvornik
Croatian Review of Economic, Business and Social Statistics (CREBSS) (1849-8531) 5 (2019), 2; 17-26

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Business and consumer survey ; Industrial confidence indicator ; Nonlinear optimisation.
(business and consumer survey, industrial confidence indicator, nonlinear optimisation.)

Sažetak
Croatian Industrial Confidence Indicator (ICI) is one of the measures of mangers’ sentiment about economic situation in Croatian manufacturing industry. Since 2005, ICI has been calculated in accordance with the harmonised European Commission methodology as a simple average of three variables: order books, stocks of finished products and production expectation. It was empirically confirmed that the ICI could predict direction of change in industrial production more than one month ahead. With the aim of raising the ICI’s forecasting power, this paper proposes a novel ICI with different weighting scheme. The empirical analysis is based on monthly data for three standard ICI subcomponents and industrial production expressed as year-on-year growth rates. The data set covers the period from May 2008 to February 2019. Data sources were European Commission and Eurostat. The newly defined ICI was constructed by using the nonlinear optimisation approach. The weights were determined by minimizing the root mean square error (RMSE) in simple regression model and by maximizing the correlation coefficient between ICI and industrial production for the various time lags. The results reveal that the newly defined ICI performs better in adapting and following the industrial production growth rate as well as that, the dominant component in ICI is the production expectation.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

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