Article
Characteristics of the information content in business sentiment surveys
Abstract
Purpose – The purpose of this manuscript is to quantify exactly how much information and/or predictive content is contained in business sentiment surveys. Design/methodology/approach – This paper uses techniques drawn from information theory econometrics, and more specifically the theory of information entropy, to characterize the predictive content of business sentiment surveys. The authors apply these techniques to publicly available information obtained from various editions of the Federal Reserve Bank of New York’s Empire State Manufacturing Survey, one of the most popular business sentiment surveys conducted in the USA. Parametric and non-parametric statistical analyses are used to examine differences in the quantity of predictive content across various questions in the survey.