Do Leading Indicators Help to Predict Business Cycle Turning Points in Germany?
Ulrich Fritsche () and
No 314, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research
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 longterm interest rate as well as some monetary indicators and some survey indicators can help predicting turning points of the business cycle.
Keywords: Business cycle; leading indicators; probit model; McFadden's R2; Markov switching models (search for similar items in EconPapers)
JEL-codes: E32 C22 C25 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp314
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