Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting

Abstract

Este trabajo estudia las tendencias comunes entre las expectativas de los productores industriales y su interdependencia con el crecimiento económico del Uruguay en las últimas dos décadas (1998 – 2017). Se utilizaron las series de expectativas recabadas por la Cámara de Industrias del Uruguay clasificadas en cuatro grupos industriales: exportadoras, bajo comercio, sustitutivas de importación y comercio intra rama. En base a la estimación de Modelos Estructurales Multivariantes, se encontró un nivel común entre los indicadores de expectativas de los cuatro grupos industriales. El grupo que lidera las expectativas de todas las empresas pertenecientes a la industria manufacturera es el más expuesto a la competencia internacional. En consecuencia, el componente tendencial de las empresas exportadoras impulsa al de los otros grupos.

This paper examines the common trends between producers’ expectations and their interdependence with economic growth in Uruguay, for the last two decades (1998-2017). We consider producers’ expectation indicators derived from qualitative surveys collected by the “Cámara de Industrias del Uruguay” classified in four groups: exporters, low-trade industries, import-substitution industries and intra-sectoral trade industries. In base on Multivariate Structural Models estimations, we found that there is a common level between the expectation indicators of four manufacturing groups. The group who lead expectations of all manufacturing firms is the more exposed to international competition. So, the trend component of the exporters' expectations drives that of the other groups. The research additionally shows that there is a nonlinear cointegration relationship between producers’ expectations and Uruguayan GDP growth. Although it indicates that in the long-run there is bidirectional causality between both variables, in the short-run causality goes uniquely from expectations to GDP growth. Besides, this finding suggests that expectations could be an accurate leader indicator; the driver of the global expectation is the aggregate indicator of the more tradable manufacturers in Uruguay. Keywords: agents’ expectations, common factors, Multivariate Structural Models, GDP forecasting, nonlinear cointegration.