Forecasting Macedonian Business Cycle Turning Points Using Qual Var Model
Magdalena Petrovska (),
Aneta Krstevska and
Nikola Naumovski ()
Additional contact information
Magdalena Petrovska: National Bank of the Republic of Macedonia
Nikola Naumovski: National Bank of the Republic of Macedonia
Journal of Central Banking Theory and Practice, 2016, vol. 5, issue 3, 61-78
Abstract:
This paper aims at assessing the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the economic sentiment indicator (ESI) within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic conditions. We further proceed analyzing how well an extended set of indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results show that the use of survey-based indicators as a complement to macroeconomic data work satisfactory well in capturing the business cycle developments in Macedonia.
Keywords: Forecasting; Business cycle turning points; Qual VAR; MCMC; Latent variable. (search for similar items in EconPapers)
JEL-codes: C22 C25 F42 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.cbcg.me/repec/cbk/journl/vol5no3-4.pdf (application/pdf)
Related works:
Working Paper: Forecasting Macedonian business cycle turning points using Qual VAR model (2016) 
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:cbk:journl:v:5:y:2016:i:3:p:61-78
Access Statistics for this article
More articles in Journal of Central Banking Theory and Practice from Central bank of Montenegro Contact information at EDIRC.
Bibliographic data for series maintained by ().