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Predicting growth rates and recessions: assessing US leading indicators under real-time conditions

Jonas Dovern and Christina Ziegler

No 1397, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: In this paper we analyze the power of various indicators to predict growth rates of aggregate production using real-time data. In addition, we assess their ability to predict turning points of the economy. We consider four groups of indicators: survey data, composite indicators, real economic indicators, and financial data. Almost all indicators are found to improve short-run growth forecasts whereas the results for four-quarter-ahead growth forecasts and the prediction of recession probabilities in general are mixed. We can confirm the result that an indicator suited to improve growth forecasts does not necessarily help to produce more accurate recession forecasts. Only composite leading indicators perform generally well in both forecasting exercises.

Keywords: leading indicators; forecasting; recessions (search for similar items in EconPapers)
JEL-codes: C25 C32 E32 E37 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://www.econstor.eu/bitstream/10419/4134/1/kap1397.pdf (application/pdf)

Related works:
Journal Article: Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1397

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