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The performance of short-term forecasts of the German economy before and during the 2008/2009 recession

Katja Drechsel and Rolf Scheufele ()
Authors registered in the RePEc Author Service: Katja Heinisch ()

International Journal of Forecasting, 2012, vol. 28, issue 2, 428-445

Abstract: The paper analyzes the forecasting performance of leading indicators for industrial production in Germany. We focus on single and pooled leading indicator models both before and during the financial crisis. Pairwise and joint significant tests are used to evaluate single indicator models, as well as forecast combination methods. In addition, we investigate the stability of forecasting models during the most recent financial crisis. We find that only a small number of single indicator models were performing well before the crisis. Pooling can substantially increase the reliability of leading indicator forecasts. During the crisis, the relative performances of many leading indicator models (e.g. using surveys, term and risk spreads) improved.

Keywords: Macroeconomic forecasting; Evaluating forecasts; Combining forecasts; Structural change (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:2:p:428-445

DOI: 10.1016/j.ijforecast.2011.04.003

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