Prof. Dr. Sc. Mirjana Čižmešija
University of Zagreb, Faculty of Economics & Business
Title of invited lecture: Economic Sentiment in Quantitative Analysis
Abstract: The incorporation of the psychological sentiment in quantitative analysis, especially in macroeconomic modelling, turned out to be necessary and invaluable during and after the recent crisis in 2008. It has been shown that knowing the level and the dynamics of GDP, industrial production, stocks of finished products, employment, investment, savings etc. is not enough. Equally important are the perception and expectation of business actors and consumers about these real macroeconomic variables. One of the important sources of the economic and consumer sentiment indicators are Business and Consumer surveys (BCS). Managers’ and consumers’ judgements about their economic surroundings, derived from BCS results, are expressed as different, empirically confirmed, leading indicators, like economic sentiment indicator or consumer sentiment indicator. It is well known that the European Economic Sentiment Indicator (ESI) is one of the high-quality leading indicators of overall economic activity. They are based on assessments and expectations actors in five BCS sectors (industry, retail trade, services, construction and the consumer sector). Consumer Confidence Indicator (CCI) presents consumer sentiment. It is based on the consumers’ perceptions about the past, and expected financial situation of households, the expected general economic situation and the intentions to make major purchases over the next 12 months.
Lately, some methodological improvements and new areas of application of economic sentiment in quantitative analyses are more present. The well-known econometric methods such as linear time series and panel data models, or simple regression and correlation analysis still exist. Nonetheless, the modern time series analysis methods such as state-space modelling, nonlinear econometrics (time-varying parameter models, threshold models and breakpoint tests) accentuate the role of economic sentiment in short-term forecasting of economic activity. Models, which include economic sentiment and all other BCS indicators, brings additional benefit to the methodological skills of economists and analysts and some of them will be briefly presented in the paper.
Short CV: Mirjana Čižmešija is a full professor at the Department of Statistics, Faculty of Economics and Business Zagreb (FEB). Her doctoral thesis titled Statistical and methodological background of business tendency surveys was defended in 2001 at FEB. Her research interests include, besides business and consumer surveys, statistical methods for management decision-making and business forecasting. She has been working on numerous research projects, out of which, founded by the Croatian Science Foundation, stand out: The role of economic sentiment in explaining macroeconomic trends: methodological improvements and new areas of application (as a project leader) and Economic sentiment: statistical, political, behavioural, and media aspects of its influence on economic activity (as a researcher). She has published more than 100 scientific articles and studies, out of which 22 articles in respectable scientific journals cited in WoSCC. Besides that, she has been a reviewer for many respectable international journals, some of which are Quality & Quantity, Economic Research, The World Economy and many others. She is a member of the review panels by Croatian Science Foundation and by the Swiss National Science Foundation. Furthermore, she is the member of the editorial Board of the Croatian Review of Economic, Business and Social Statistics (CREBSS) and of the Croatian Operational Research Review (CRORR). She has been (during several mandates) a member of the FEB Faculty Committee, and a member of their boards. She was the Head of the Department of statistics and the president of the FEB Graduate studies committee.
Mirjana Čižmešija is the first person in Croatia to obtain a doctoral degree in the field of business and consumer survey methodology. She was the first person in Croatia to introduce the business and consumer surveys to the scientific and professional public. She continually worked on implementation of the economic and consumer sentiments in macroeconomic tendency surveys, encouraging the popularization of tendency surveys in accordance with the EU standards, especially among young researchers.