Forecasting corporate investment : an indicator based on revisions in the French investment survey

The quarterly survey of investment in industry, conducted by the National Institute for Statistics and Economic Studies (INSEE) is a prime source of information concerning short-term evolutions in productive investment, making it possible to estimate these evolutions at an early stage and with considerable precision. However, the annual nature of the questions posed makes it is difficult to use the results for forecasting on a quarterly basis. This article proposes a quarterly indicator based on revisions in industrial firms’ expectations regarding their investment. The proposed indicator measures the adjustments to investment figures made during the year in response to changes of a short-term nature. It turns out to be closely correlated with quarterly evolutions in firms’ investment as measured in the national accounts. Moreover, it is available roughly three months before the publication of the initial quarterly national accounts figures. As the distributions examined fail to verify the classic normality hypothesis (thick tails and heavy concentrations at zero) it is necessary to apply an estimation method that is robust to extreme revisions. Taking into account also the presence of heteroscedasticity, the method known as "Quasi-generalised M-estimators" was applied.