With or without you: Do financial data help to forecast industrial production?
No 558, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen
This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to forecast industrial production for Germany and the US. We focus on single-indicator models and various weighting schemes and evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models before and during the recent financial crisis. This paper shows that financial market indicators are useful for short-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was not foreseeable even if financial market indicators were taking into account. Furthermore, the reliability of pooled forecasts is higher than most of the forecasts obtained from single-indicator models.
Keywords: forecasting; financial market data; single-indicator model; pooling of forecasts (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:558
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