Constructing a new leading indicator for unemployment from a survey among German employment agencies

Christian Hutter and Enzo Weber

Applied Economics, 2015, vol. 47, issue 33, 3540-3558

Abstract: The article investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labour market developments. We generate an aggregate unemployment leading indicator that exploits serial correlation in response behaviour through identifying and adjusting temporarily unreliable predictions. We use out-of-sample tests suitable in nested model environments to compare forecasting performance of models including the new indicator to that of purely autoregressive benchmarks. For all investigated forecast horizons (1, 2, 3 and 6 months), test results show that models enhanced by the new leading indicator significantly outperform their benchmark counterparts. To compare our indicator to potential competitors, we employ the model confidence set. Results reveal that models including the new indicator perform very well at the 10% level.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1018672 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Constructing a new leading indicator for unemployment from a survey among German employment agencies (2013)
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: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:33:p:3540-3558

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1018672

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().