Testing Predicitive Ability of Business Cycle Indicators for the Euro Area

Christina Elisabeth Ziegler

No Ifo Working Paper No. 69, Ifo Working Paper Series from Ifo Institute for Economic Research at the University of Munich

Abstract: We analyze the predictive power of seven leading indicators for economic activity inthe Euro Area developed by different banks, institutions and research centers. Ourcomparison is conducted in a bivariate vector autoregressive framework. Indicators arecompared by means of an in-sample and an out-of-sample forecasting experiment.Predictive accuracy is compared by recently proposed tests for superior predictive ability.Our results suggest that nearly all indicators have good in-sample properties and that amajority of them is able to outperform a naive univariate autoregressive model out-of-sample.Additionally, we find that indicators perform better in boom periods than inrecessions. The OECD and FAZ indicators are both composite indicators and deliver themost accurate forecasts.

Keywords: Leading indicators; Euro area; forecasting (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
Date: 2009

Downloads: (external link)
http://www.cesifo-group.de/DocDL/IfoWorkingPaper-69.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ces:ifowps:_69

Access Statistics for this paper

More papers in Ifo Working Paper Series from Ifo Institute for Economic Research at the University of Munich
Address: Poschingerstrasse 5, 81679 Munich
Contact information at EDIRC.
Series data maintained by Julio Saavedra ().