EconPapers    
Economics at your fingertips  
 

Leading Indicators of German Business Cycles: An Assessment of Properties

Ulrich Fritsche () and Sabine Stephan ()

Macroeconomics from University Library of Munich, Germany

Abstract: A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time. (3) The inclusion of the indicator in out-of-sample forecasting procedures should improve the predictive power. Our analysis deals with tests for these requirements applied to German data. We used frequency domain analysis, different Granger-causality tests and out-of sample forecasts. Only few indicators passed all tests. Their inclusion into VAR-based forecasts improves the forecast in the very short run.

Keywords: Business Cycle; Germany; Indicators (search for similar items in EconPapers)
JEL-codes: E32 L60 L70 (search for similar items in EconPapers)
Date: 2000-05-11
Note: Type of Document - Acrobat PDF; pages: 32; figures: included
References: Add references at CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/mac/papers/0004/0004005.pdf (application/pdf)

Related works:
Working Paper: Leading Indicators of German Business Cycles: An Assessment of Properties (2000) 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:wpa:wuwpma:0004005

Access Statistics for this paper

More papers in Macroeconomics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().

 
Page updated 2019-05-16
Handle: RePEc:wpa:wuwpma:0004005