Constructing a new leading indicator for unemployment from a survey among German employment agencies

Christian Hutter and Enzo Weber
Additional contact information
Christian Hutter: Institute for Employment Research (IAB), Nuremberg, Germany

No 201317, IAB-Discussion Paper from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]

Abstract: "The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We generate an aggregate unemployment leading indicator that exploits serial correlation in response behavior through identifying and adjusting temporarily unreliable predictions. We use out-of-sample tests suitable in nested model environments to compare forecasting performance of models including the new indicator to that of purely autoregressive benchmarks. For all investigated forecast horizons (1, 2, 3 and 6 months), test results show that models enhanced by the new leading indicator significantly outperform their benchmark counterparts. To compare our indicator to potential competitors we employ the model confidence set. Results reveal that models including the new indicator perform very well." (Author's abstract, IAB-Doku) ((en))

Keywords: Bundesrepublik Deutschland; Befragung; Indikatoren; Indikatorenbildung; Prognosegenauigkeit; Prognoseverfahren; Prognostik; IAB-Arbeitsmarktbarometer; Arbeitsagenturen; Arbeitslosenstatistik; Arbeitslosigkeit; Arbeitsmarkt; Arbeitsmarktbeobachtung; Arbeitsmarktindikatoren; Arbeitsmarktprognose (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 E24 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2013
New Economics Papers: this item is included in nep-eur, nep-for, nep-lab and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in/as: Applied Economics, online first (2015), doi:10.1080/00036846.2015.1018672

Downloads: (external link)
https://doku.iab.de/discussionpapers/2013/dp1713.pdf

Related works:
Journal Article: Constructing a new leading indicator for unemployment from a survey among German employment agencies (2015)
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:iab:iabdpa:201317

Access Statistics for this paper

More papers in IAB-Discussion Paper from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] Contact information at EDIRC.
Bibliographic data for series maintained by IAB, Geschäftsbereich Wissenschaftliche Fachinformation und Bibliothek ().