What Determines the ZEW Indicator?

Felix P. Hüfner and David Lahl
Authors registered in the RePEc Author Service: Felix Huefner ()

No 03-48, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: This paper analyzes which factors are driving the ZEW Indicator of Economic Sentiment. Using the results of a poll among survey participants as well as Granger causality tests we identify three groups of influence factors: other sentiment indicators, financial variables and real economy data. In a second step these factors are used to estimate out-of-sample forecasts for the ZEW Indicator. We find that a simple model that includes German manufacturing order data, the German yield structure and the US Consumer Confidence indicator as explanatory variables is able to outperform a naive univariate benchmark model as well as the consensus forecast for the ZEW Indicator as published by news agencies.

Keywords: leading indicators; Germany; zew; forecasting (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:1357

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