EconPapers    
Economics at your fingertips  
 

The Financial Crisis from a Forecaster’s Perspective

Katja Drechsel and Rolf Scheufele ()
Additional contact information
Katja Drechsel: Institut für Wirtschaftsforschung Halle (IWH), Abteilung Makro- ökonomik, Kleine Märkerstraße 8, D-06108 Halle (Saale)

Authors registered in the RePEc Author Service: Katja Heinisch ()

Credit and Capital Markets, 2012, vol. 45, issue 1, 1–26

Abstract: This paper analyses the recession in 2008/2009 in Germany. This recession is very different from previous recessions in particular regarding their causes and magnitude. We show to what extent forecasters and forecasts based on leading indicators fail to detect the timing and the magnitude of the recession. This study shows that large forecast errors for both expert forecasts and forecasts based on leading indicators resulted during this recession which implies that the recession was very difficult to forecast. However, some leading indicators (survey data, risk spreads, stock prices) have indicated an economic downturn and hence, beat univariate time series models. Although the combination of individual forecasts provides an improvement compared to the benchmark model, the combined forecasts are worse than several individual models. A comparison of expert forecasts with the best forecasts based on leading indicators shows only minor deviations. Overall, the range for an improvement of expert forecasts in the crisis compared to indicator forecasts is small.

JEL-codes: E37 C53 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The Financial Crisis from a Forecaster’s Perspective (2011) Downloads
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:kuk:journl:v:45:y:2012:i:1:p:1-26

Access Statistics for this article

More articles in Credit and Capital Markets from Credit and Capital Markets
Bibliographic data for series maintained by Credit and Capital Markets ().

 
Page updated 2021-04-13
Handle: RePEc:kuk:journl:v:45:y:2012:i:1:p:1-26