An Indicator Based on Revisions in the French Investment Survey: A Useful Tool for Forecasting Business Investments

Abstract

The quarterly survey of investments in industry conducted by INSEE is a prime source of information concerning short-term economic changes in productive investment. The annual nature of the questions asked makes it difficult for them to be used in forecasting on a quarterly basis. For that reason, this article suggests a quarterly indicator of revisions in industrial firms anticipated investments. This indicator measures adjustments to investment projects throughout the year, based on short-term economic changes. Being closely correlated to quarterly changes in corporate investment, it is available around three months before the publication of the initial quarterly national accounts figures. The distributions examined do not verify certain characteristics of normal distribution. Therefore, it is necessary to apply an estimation method which is robust to the revisions of outliers. Also taking into account the presence of heteroscedasticity, the method known as "Quasi-generalised M-estimators" was applied.Investment, Business Tendency Surveys, Outliers, Quasi-Generalized M-Estimators