Prediction of Business Cycle Turning Points in Germany / Prognose konjunktureller Wendepunkte in Deutschland

Ulrich Fritsche and Kuzin Vladimir ()
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Kuzin Vladimir: Goethe-Universität Frankfurt am Main, Institut für Statistik und Methoden der Ökonometrie, Gräfstr. 78, D-60054 Frankfurt a.M. Tel.: ++49/+69/798 25332, Fax: ++49/+69/79823662, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, vol. 225, issue 1, 22-43

Abstract: Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that the interest rate spread, the real effective exchange rate as well as some monetary indicators and some survey indicators can help to predict turning points of the German business cycle. The models were estimated for the in-sample period 1978 to 1997 and the reliability of the results was tested out of that sample (1998 to 2002).

Keywords: Business cycle; leading indicators; probit model; Markov switching models; out-of-sample evaluation; Konjunkturzyklus; Frühindikatoren; Probit-Modell; Markov-Switching-Modell (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:225:y:2005:i:1:p:22-43

DOI: 10.1515/jbnst-2005-0103

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