An updated analysis of the predictive ability of Mexico’s Manufacturing Business Opinion Survey 1

Abstract

We present an analysis of the Manufacturing Business Opinion Survey carried out by Mexico’s national statistical agency. We describe first the survey and employ exploratory statistical analyses based on coincidences and cross-correlations. We also consider forecasting models for the indices of industrial production and the Mexican global economic activity, including opinion indicators as predictors as well as lags of the quantitative variable to be predicted, so that the net contribution of the opinion indicators can be best appreciated in a forecasting experiment. The forecasting models employed are statistically adequate in the sense that they satisfy the underlying assumptions, so that statistical inferences and conclusions are validated by the data at hand. Our results lend empirical support to the intuition that this survey provides information that anticipates the behavior of important macroeconomic variables, such as the Mexican index of global economic activity and the index of industrial production. We include a section where some original tables and figures covering data up to year 2009 are updated to include data up to October 2017. These new tables show that the original conclusions remain valid even though the data were subjected in 2011 to some modifications due to a three-fold increase of the sample size and an extended coverage of economic activities.