SurveyData 2

Survey Data in Macroeconomics
II. Survey Datasets and Methodological Issues
Prof. Dr. Lena Dräger
Johannes Gutenberg-University Mainz, GSEFM field course

Email: ldraeger@uni-mainz.de
1 / 47
Outline
1 Survey Datasets
2 Qualitative vs. Quantitative Questions
3 Wording Issues
4 Truncation
2 / 47
Survey Datasets
Relevant Survey Datasets
3 / 47
Survey Datasets
Relevant Surveys
Professional forecasters: SPF US (Philadelphia Fed), SPF Eurozone (ECB),

Consensus Economics & Blue Chip
Households: University of Michigan Survey of Consumers (US), Survey of

Consumer Expectations (US), Joint Harmonised EU Programme of Business
and Consumer Surveys (most EU countries), British Household Panel, DNB
Household Survey (Netherlands), Household Finance and Consumption
Network (ECB)
Firms: ifo Business Survey (Germany), survey of New Zealand Firms

conducted by Coibion, Gorodnichenko & Kumar, Duke University Survey of
Chief Financial Officers (CFO), Industrial Trends Survey by the
Confederation of British Industry (UK), Survey on Inflation and Growth
Expectations (Banca d’Italia)
4 / 47
Survey Datasets
Survey of Professional Forecasters (SPF) in the US
https://www.philadelphiafed.org/research-and-data/
real-time-center/survey-of-professional-forecasters/
Forecasts by private sector economists in businesses, the financial

sector and university research centres
Conducted by the Philadelphia Fed
Quarterly data since 1968q4, data collected by the Philadelphia Fed

since 1990
Publicly available: Mean, median, cross-sectional dispersion and

microdata
5 / 47
Survey Datasets
Sample size around 30, with a panel dimension (anonymous)
Includes only quantitative macroeconomic expectations (forecasts)
Probability distribution forecasts for annual inflation and GDP growth

and the probability of a recession
Forecasters give quarterly projections for 5 quarters and annual

projections for the current year (nowcast) and the next year ⇒ fixed
horizon and fixed event forecasts!
6 / 47
Survey Datasets
Forecasted variables, US Business Indicators:

GDP (growth)
GDP chain-weighted price index
Corporate profits after tax
Civilian unemployment rate
Industrial production index (growth)
Housing starts
Three-month Treasury Bill rates (since 1981q3)
Moody’s AAA Corporate Bond Yield (from 1981q3-2016q4)
10-year Treasury Bond rate (since 1992q1)
7 / 47
Survey Datasets
Forecasted variables, GDP and its components (all since 1981q3):

Real GDP
Real personal consumption expenditures
Real Nonresidential fixed investment
Real residential fixed investment
Real Federal government consumption expenditures & gross investment
Real state and local government consumption expenditures & gross
investment
Real change in private inventories
Real net exports of goods and services
8 / 47
Survey Datasets
Forecasted variables, CPI and PCE inflation (all growth rates):

CPI inflation (since 1981q1)
Core CPI inflation (since 2007q1)
PCE inflation (since 2007q1)
Core PCE inflation (since 2007q1)
Long-term (10-year) forecasts (except CPI all since 1992q1 and
collected only in the first quarter each year):
CPI (since 1991q1)
Real GDP
Productivity growth
Stock return (S&P 500)
10-year Treasury Bond return
3-months Treasury Bill return
9 / 47
Survey Datasets
Survey of Professional Forecasters (SPF) at the ECB
https://www.ecb.europa.eu/stats/ecb_surveys/survey_of_
professional_forecasters/html/index.en.html
Professional forecasters at financial or non-financial institutions in the

European Union
Sample size around 90, with panel dimension (anonymous)
Quarterly, conducted by the ECB since 1999q1
Aggregate and microdata publicly available
Includes quantitative forecasts and quantitative probability distribution

forecasts and point forecasts for underlying assumptions
10 / 47
Survey Datasets
Survey of Professional Forecasters (SPF) at the ECB
All forecasts are for the Eurozone
Forecasted variables:
HICP inflation
Real GDP growth
Unemployment rate
Assumptions on the ECB’s main refinancing rate, oil prices, USD/EUR
exchange rate and labour cost changes
Forecast horizons (mostly fixed event):

Current calendar year
Next calendar year, and calendar year after that
4-5 calendar years ahead
“Rolling horizon” one-year ahead from latest available data publication
11 / 47
Survey Datasets
Consensus Economics
http://www.consensuseconomics.com/
Survey conducted by a private firm, collecting quantitative economic

forecasts from about 700 economists each month
Not publicly available
Forecasts by the same forecaster for several countries
Forecasting firms are identified
Only fixed event forecasts
12 / 47
Survey Datasets
Consensus Economics
Range of macroeconomic and financial forecasts (GDP growth,

unemployment, inflation, interest rates, exchange rates etc.)
Countries and Regions:

G-7 and Western Europe
Eastern Europe
Latin America
USA
Special surveys:
Foreign exchange markets forecasts
Commodity forecasts in energy and metal markets
13 / 47
Survey Datasets
Blue Chip Surveys
Blue Chip Economic Indicators and Blue Chip Financial Forecasts
Financial market and economic forecasts, survey conducted by a

private firm
Forecasts of yields along the yield curve
Forecasting firms are identified
Focus on US economy
Not publicly available
14 / 47
Survey Datasets
University of Michigan Survey of Consumers
https://data.sca.isr.umich.edu/
Large household survey in the US, microdata available since 1978m1
Sample representative of the US population, cross-section of about

500 households
Rotating panel dimension: Every month, about 40% of respondents

are (randomly) chosen to be re-interviewed after 6 months
Aggregate and microdata publicly available
15 / 47
Survey Datasets
University of Michigan Survey of Consumers
Includes quantitative macro expectations (point forecasts) on one-year

ahead and 5-10-years ahead inflation, gas price inflation, house price
inflation
Qualitative macro expectations and attitudes on changes in business
and buying conditions, unemployment, interest rates, inflation
Qualitative and quantitative micro expectations on changes in
personal and family income, financial household situation
Percent chances that certain events occur
Large range of socio-demographic characteristics

Further interesting questions: Index of consumer confidence, news on
business conditions observed, assessment of government’s economic
policy
16 / 47
Survey Datasets
Survey of Consumer Expectations
https://www.newyorkfed.org/microeconomics/sce
Conducted by the New York Fed since 2013m6
Sample representative of the US population, cross-section of about

1,300 households
Rotating panel dimension: Households stay in the panel for up to 12

months
Aggregate and microdata publicly available (with a lag)
17 / 47
Survey Datasets
Survey of Consumer Expectations

Large range of subjective macro and micro expectations:
Inflation, incl. home prices and prices of gas, food, rent, medical care,
education
Unemployment
Interest rates
Stock market and credit availability
Taxes and government debt
Own employment situation
Own income and spending
Includes both point forecasts and probability distribution forecasts and

percent chances of binary outcomes
Forecasts for various ranges (1 year and 3 years)
Additional modules on credit access, labour market and spending
(each quarterly), one special module and yearly modules on the
housing market, consumption and saving
18 / 47
Survey Datasets
Joint Harmonised EU Programme of Business and Consumer

Surveys
https://ec.europa.eu/info/business-economy-euro/
indicators-statistics/economic-databases/
business-and-consumer-surveys_en
Monthly since 1985m1 (not all countries and not all questions)
Representative household samples
Harmonized questionnaire in all EU countries
Aggregate and sub-group data publicly available, microdata depends
19 / 47
Survey Datasets
Joint Harmonised EU Programme of Business and Consumer

Surveys
Macro and micro perceptions (past 12 months) and expectations (next
12 months):
Changes in consumer prices
Major purchases of durable consumer goods
Change in savings
General economic situation
Own financial situation
Qualitative expectations of:

Unemployment
Purchase car or house
Home improvements
Consumer confidence indicator
Only qualitative expectations! Quantitative data fielded since 2003,

but not published. Exception: Swedish Consumer Tendency Survey20 / 47
Survey Datasets
DNB Household Survey (Netherlands)

https://www.centerdata.nl/en/projects-by-centerdata/
dnb-household-survey-dhs
Panel of 2000 Dutch households, yearly data from 1993-2015
Topics fielded include:

Economic aspects of financial behavior including subjective reasons for
investment decisions
Inflation expectations
Employment
Housing and mortgages
Health
Pensions
Income, assets and loans
Psychological characteristics
Personal characteristics
Data publicly available after registration

21 / 47
Survey Datasets
Household Finance and Consumption Network (ECB)
https://www.ecb.europa.eu/pub/economic-research/
research-networks/html/researcher_hfcn.en.html
Collection of household data on finances and consumption, with

detailed information on assets and liabilities
Large panels in each Euro area country
Waves approx. every 2 years, so far 2 waves in 2010-2011 and

2013-2015
Questionnaires are partly harmonized across countries
22 / 47
Survey Datasets
ifo Business Survey
Survey of German firms in trade and services
Monthly since 1991m1 (longest horizon)
Also interesting: ifo Investment Survey, bi-annually since 2007
Confidential data, only some time series publicly available
23 / 47
Survey Datasets
ifo Business Survey
Only partly publibly available, including information on questionnaires
Aggregate time series of qualitative indices available:

Business climate index Germany
Business climate German service industry
Business climate Eastern Germany
Credit constraint indicator
Employment barometer Germany
Export expectations
24 / 47
Survey Datasets
Survey on Inflation and Growth Expectations (Banca

d’Italia)
https:
//www.bancaditalia.it/pubblicazioni/indagine-inflazione/
index.html?com.dotmarketing.htmlpage.language=1
Quarterly since 1999
Panel of 1,000 firms with 50 or more workers in Italy
Firms from industry, non-financial private services and construction
Includes current perceptions and expectations of inflation 6, 12, and

24 months ahead
Data is publicly available

25 / 47
Survey Datasets
Survey on Inflation and Growth Expectations (Banca

d’Italia)
Qualitative and probabilistic expectations on:

General economic situation in Italy and in the firm’s sector
Own investment
Own employment
Own product prices
Own demand
Quantitative inflation expectations with/without anchoring (latest

data given)
26 / 47
Qualitative vs. Quantitative Questions
27 / 47
Survey Design
Question difficulty
Firms/households vs. professional forecasters
Media coverage
Central bank communication
Answer accuracy
Literacy and numeracy issues

Knowledge about the macroeconomy varies greatly
Non-response bias for inflation expectations greater for some
socio-economic groups (Blanchflower and Kelly, 2008)
Difficulties with working with percentages
28 / 47
Illiteracy Measured by Non-Response Rates
Price Wording Inflation Wording

Perceptions Expectations Perceptions Expectations
All 0.06 0.08 0.12 0.09
Male 0.02 0.06 0.06 0.05
Female 0.10 0.10 0.19 0.13
16-29 0.03 0.07 0.16 0.12
30-44 0.04 0.07 0.11 0.07
45-59 0.05 0.04 0.10 0.11
60+ 0.09 0.11 0.12 0.07
Low Education 0.09 0.13 0.25 0.12
Medium Education 0.07 0.09 0.14 0.12
High Education 0.04 0.04 0.04 0.03
0-25% Income 0.00 0.03 0.12 0.11
25-50% Income 0.10 0.08 0.12 0.07
50-75% Income 0.16 0.19 0.16 0.09
75-100% Income 0.00 0.03 0.04 0.04
Source: Dräger and Fritsche (2013).

29 / 47
Qualitative vs. Quantitative Inflation Expectations
Figure: Qualitative and Quantitative Inflation Expectations in Sweden
20
4
3
0
−20
2
−40
1
−60
0
1996 1998 2000 2002 2004 2006 2008 2010
quantitative inflation expectations, trunc

qualitative inflation expectations, balance stat
Source: Swedish Consumer Tendency Survey.

30 / 47
Aggregating Qualitative Questions – Balance Statistic
Qualitative survey variables are often summarized in the so-called balance

statistic:
b = s1 + 0.5s2 − 0.5s4 − s5 (1)
where s1 , s2 , s3 , s4 and s5 are the shares of answers in the categories prices
will “rise a lot”, “rise moderately”, “rise slightly”, “stay about the same”,
“fall”.
Balance statistic with three answer categories:
b = s1 − s3 (2)
31 / 47
The Carlson-Parkin Probability Method
Method for quantifying aggregate qualitative survey expectations
For 3 answer categories by Carlson and Parkin (1975), adjusted for 5

categories by Batchelor and Orr (1988)
Quantification makes strong assumptions about distribution and

baseline information
Not more accurate than balance statistic (Maag, 2009)
Some variants are useful for quantifying qualitative disagreement

(Mokinski et al., 2015)
32 / 47

Assumptions:
1 Expectations are formed according to a subjective probability
distribution
2 Individual distributions can be aggregated to a joint pdf f (xt+1 |Ωt )
(often assumed to be normal), which has finite first and second order
moments where E [xt+1 |Ωt ] =t µt+1 and t µt+1 is the expected value
of x at time t for period t + 1
3 There are symmetric intervals (−δ L , δ U ) and (−εL , εU ) around 0 and
around the subjective mean perceived inflation rate µ̃t such that
respondents answer that prices will:
fall if xt+1 ≤ −δ L ⇒ answer proportion t At+1
stay about the same if −δ L < xt+1 ≤ δ U ⇒ answer proportion t Bt+1
rise slightly if δ U < xt+1 ≤ µ̃t − εL ⇒ answer proportion t Ct+1
rise moderately if µ̃t − εL < xt+1 < µ̃t + εU ⇒ answer proportion t Dt+1
rise a lot if µ̃t + εU ≤ xt+1 ⇒ answer proportion t Et+1
33 / 47
f(xt+1|Ωt)
tCt+1
tBt+1
tDt+1
tAt+1 tEt+1
L
-δt 0 δtU tµt+1 µ~ t-εt µt µ
L ~ ~
t+εt
U xt+1
Figure 1: Quantiﬁcation of pentachotomous survey data
Source: Nielsen (2003). L

t −t
µ̃
U L 34 / 47
Inverse distribution functions (quantile functions) are defined as follows:
F −1 (t At+1 ) =t at+1 (3)

−1
F (t At+1 +t Bt+1 ) =t bt+1 (4)
F −1 (t At+1 +t Bt+1 +t Ct+1 ) =t ct+1 (5)
−1
F (t At+1 +t Bt+1 +t Ct+1 +t Ct+1 ) =t dt+1 (6)
(7)
35 / 47

Then, we get:
µ̃t (t at+1 +t bt+1 )

t µt+1 = (8)
t t+1 t bt+1 −t ct+1 −t
a + dt+1
−2µ̃t
t σt+1 = (9)
t t+1 t t+1 −t ct+1 −t
a + b dt+1
µ̃t (t at+1 −t bt+1 )
δt = (10)
t at+1 +t bt+1 −t ct+1 −t dt+1
µ̃t (t ct+1 −t dt+1 )
εt = (11)
t t+1 t bt+1 −t ct+1 −t
a + dt+1
(12)
where t µt+1 is the quantified aggregate expectation with standard

deviation t σt+1 . The quantification depends crucially on the assumed
distribution function and the value for µ̃t !
36 / 47
Analyzing Microdata of Qualitative Expectations
In microdata, there is no immediate way of quantifying qualitative answers,

but we can use estimators that account for qualitative data:
Convert answers into dummy variables (for bivariate questions or if we

want to look at specific categories)
⇒ Probit/logit or bi-probit estimators
Use ordered probit/logit estimators

⇒ Make sure that answer categories are ordered in a meaningful way
37 / 47
Wording Issues
Wording Issues
38 / 47
Wording Issues
Wordings for Eliciting Inflation Expectations

When fielding macroeconomic expectations of non-experts, survey
wording can be important
NY Fed Project (see Bruine de Bruin et al., 2012) and Hamburg BUS
Survey (see Dräger and Fritsche, 2013):
Significant differences between perceptions and expectations given
when asked about “changes in prices in general” or the “inflation rate”
⇒ Perceptions and expectations are lower and less dispersed when asking
about “inflation”
⇒ Asking about “prices in general” seems to elicit (extreme) personal

price experiences (availability bias)
⇒ Media and central bank communication about “inflation”
⇒ What is the inflation rate that people act upon?

39 / 47
Wording Issues
Figure: Distribution of Inflation Perceptions and Expectations Across Wordings
Quantitative Inflation Perceptions and Expectations

60
60
50
50
Frequency
Frequency
40
40
30
30
20
20
10
10
0
0
−5 0 5 10 15 20 25 −5 0 5 10 15 20 25
Perceived Inflation Rates, Truncated Perceived Increase in Prices in %, Truncated
60
60
50
50
Frequency
Frequency
40
40
30
30
20
20
10
10
0
−5 0 5 10 15 20 25 −5 0 5 10 15 20 25
Expected Inflation Rates, Truncated Expected Increase in Prices in %, Truncated
Source: Dräger and Fritsche (2013).

40 / 47
Wording Issues
Table: Summary Statistics Quantitative Inflation Expectations Across Wordings
Mean Median SD IQR
All Price Question 4.73 3.00 4.80 3.00

Inflation Question 3.07 2.00 3.69 1.50
Male Price Question 4.47 3.00 4.57 3.00

Female Price Question 4.99 3.00 5.00 3.00
Low Education Price Question 6.00 5.00 6.22 5.00

Medium Education Price Question 4.73 3.00 4.74 3.00
High Education Price Question 4.19 3.00 4.14 3.00
0-25% Income Price Question 5.83 3.25 6.64 3.50

Source: Dräger and Fritsche (2013). 41 / 47

Truncation
Truncation
42 / 47
Truncation
Truncation of Quantitative Survey Expectations
Estimation results can be biased if the data contains extreme outliers
This also applies to survey data of (non-expert) macro expectations
⇒ Truncation of the data
The University of Michigan Survey of Consumers truncates answers at

(-50,50%) (!)
Researchers typically truncate by dropping the top/bottom 2.5% of the

distribution or by dropping expectations outside the range (-5,30%)
43 / 47
Truncation
Truncation of Quantitative Survey Expectations
Figure: Distribution of 1 Year Ahead Inflation Expectations of US Households

4.0e+04
4.0e+04
3.0e+04
3.0e+04
Frequency
Frequency
2.0e+04
2.0e+04
1.0e+04
1.0e+04
0
0
−50 −40 −30 −20 −10 0 10 20 30 40 50 −5 0 5 10 15 20
Expected Inflation 1 Year Ahead, Not Truncated Expected Inflation 1 Year Ahead, Truncated
Source: Microdata from the University of Michigan Survey of Consumers; sample period: 1978m1-2012m9;
Observations 215,823 and 202,664.
44 / 47
Truncation
Literature I
Batchelor, R. A. and A. B. Orr (1988).

Inflation expectations revisited.
Economica 55 (219), 317–331.
Blanchflower, D. G. and R. Kelly (2008).

Macroeconomic Literacy, Numeracy and the Implications for Monetary
Policy.
Working Paper Bank of England .
Bruine de Bruin, W., W. van der Klaauw, G. Topa, J. S. Down, and

O. Armantier (2012).
The effect of question wording on consumers’ reported inflation expectations.
Journal of Economic Psychology 33 (4), 749–757.
45 / 47
Truncation
Literature II
Carlson, J. A. and M. Parkin (1975).

Inflation expectations.
Economica 42 (166), 123–138.
Dräger, L. and U. Fritsche (2013).

Don’t worry, be right! survey wording effects on inflation perceptions and
expectations.
Macroeconomics and Finance Series University of Hamburg 8/2013.
Maag, T. (2009).
On the accuracy of the probability method for quantifying beliefs about
inflation.
KOF Swiss Economic Institute Working Paper 230.
46 / 47
Truncation
Literature III
Mokinski, F., X. Sheng, and J. Yang (2015).

Measuring disagreement in qualitative expectations.
Journal of Forecasting 34 (5), 405–426.
Nielsen, H. (2003).
Inflation expectations in the eu – results from survey data.
Humboldt-Universität zu Berlin, Sonderforschungsbereich 373:
Quantification and Simulation of Economic Processes 13.
47 / 47

SurveyData 2

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

SurveyData 2

Uploaded by

Copyright:

Available Formats

Survey Data in Macroeconomics

II. Survey Datasets and Methodological Issues

Prof. Dr. Lena Dräger

Johannes Gutenberg-University Mainz, GSEFM field course

2 Qualitative vs. Quantitative Questions

Relevant Survey Datasets

Professional forecasters: SPF US (Philadelphia Fed), SPF Eurozone (ECB),

Households: University of Michigan Survey of Consumers (US), Survey of

Firms: ifo Business Survey (Germany), survey of New Zealand Firms

Survey of Professional Forecasters (SPF) in the US

Forecasts by private sector economists in businesses, the financial

Conducted by the Philadelphia Fed

Quarterly data since 1968q4, data collected by the Philadelphia Fed

Publicly available: Mean, median, cross-sectional dispersion and

Survey of Professional Forecasters (SPF) in the US

Sample size around 30, with a panel dimension (anonymous)

Includes only quantitative macroeconomic expectations (forecasts)

Probability distribution forecasts for annual inflation and GDP growth

Forecasters give quarterly projections for 5 quarters and annual

Survey of Professional Forecasters (SPF) in the US

Forecasted variables, US Business Indicators:

Survey of Professional Forecasters (SPF) in the US

Forecasted variables, GDP and its components (all since 1981q3):

Survey of Professional Forecasters (SPF) in the US

Forecasted variables, CPI and PCE inflation (all growth rates):

Survey of Professional Forecasters (SPF) at the ECB

Professional forecasters at financial or non-financial institutions in the

Sample size around 90, with panel dimension (anonymous)

Quarterly, conducted by the ECB since 1999q1

Aggregate and microdata publicly available

Includes quantitative forecasts and quantitative probability distribution

Survey of Professional Forecasters (SPF) at the ECB

All forecasts are for the Eurozone

Forecast horizons (mostly fixed event):

Survey conducted by a private firm, collecting quantitative economic

Not publicly available

Forecasts by the same forecaster for several countries

Forecasting firms are identified

Only fixed event forecasts

Range of macroeconomic and financial forecasts (GDP growth,

Countries and Regions:

Blue Chip Surveys

Blue Chip Economic Indicators and Blue Chip Financial Forecasts

Financial market and economic forecasts, survey conducted by a

Forecasts of yields along the yield curve

Forecasting firms are identified

Not publicly available

University of Michigan Survey of Consumers

Large household survey in the US, microdata available since 1978m1

Sample representative of the US population, cross-section of about

Rotating panel dimension: Every month, about 40% of respondents

Aggregate and microdata publicly available

University of Michigan Survey of Consumers

Includes quantitative macro expectations (point forecasts) on one-year

Large range of socio-demographic characteristics

Survey of Consumer Expectations

Conducted by the New York Fed since 2013m6

Sample representative of the US population, cross-section of about

Rotating panel dimension: Households stay in the panel for up to 12

Aggregate and microdata publicly available (with a lag)

Survey of Consumer Expectations

Includes both point forecasts and probability distribution forecasts and

Joint Harmonised EU Programme of Business and Consumer