New Composite Leading Indicators for Hungary and Poland

Harm Bandholz

No 3, ifo Working Paper Series from ifo Institute - Leibniz Institute for Economic Research at the University of Munich

Abstract: This paper presents new composite leading indicators for the two largest of the EU accession countries, Poland and Hungary. Using linear and non-linear dynamic factor models we find for both countries that a parsimonious specification, which combines national business cycle indicators, series reflecting trade volumes and supranational business expectations makes for the most reliable business cycle leaders. The composite leading indicators significantly Granger-cause GDP growth rates, while the estimated Markov-switching probabilities of being in a recessionary state agree well with a priori determined cycle chronologies.

JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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