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  1. A generalised dynamic factor model for the Belgian economy
    useful business cycle indicators and GDP growth forecasts
    Author: Van Nieuwenhuyze, Christophe
    Published: [2006]
    Publisher:  National Bank of Belgium, Brussels

    This paper aims to extract the common variation in a data set of 509 conjunctural series as an indication of the Belgian business cycle. The data set contains information on business and consumer surveys of Belgium and its neighbouring countries,... more

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    This paper aims to extract the common variation in a data set of 509 conjunctural series as an indication of the Belgian business cycle. The data set contains information on business and consumer surveys of Belgium and its neighbouring countries, macroeconomic variables and some worldwide watched indicators such as the ISM and the OECD confidence indicators. The statistical framework used is the One-sided Generalised Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2005). The model splits the series in a common component, driven by the business cycle, and an idiosyncratic component. Well-known indicators such as the EC economic sentiment indicator for Belgium and the NBB overall synthetic curve contain a high amount of business cycle information. Furthermore, the richness of the model allows to determine the cyclical properties of the series and to forecast GDP growth all within the same unified setting. We classify the common component of the variables into leading, lagging and coincident with respect to the common component of quarter-on-quarter GDP growth. 22% of the variables are found to be leading. Amongst the most leading variables we find asset prices and international confidence indicators such as the ISM and some OECD indicators. In general, national business confidence surveys are found to coincide with Belgian GDP, while they lead euro area GDP and its confidence indicators. Consumer confidence seems to lag. Although the model captures the dynamic common variation contained in the data set, forecasts based on that information are insufficient to deliver a good proxy for GDP growth as a result of a nonnegligible idiosyncratic part in GDP's variance. Lastly, we explore the dependence of the model's results on the data set and show through a data reduction process that the idiosyncratic part of GDP's quarter-on-quarter growth can be dramatically reduced. However, this does not improve the forecasts.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/144294
    Series: Working paper research / National Bank of Belgium ; no. 80 (February 2006)
    Subjects: Frühindikator; Wirtschaftsprognose; Makroökonometrie; Dynamische Wirtschaftstheorie; Belgien; Dynamic factor model; business cycle; leading indicators; forecasting; data reduction
    Scope: 1 Online-Ressource (596 KB, text, circa 46 Seiten), Illustrationen
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    Record-last-verified: 17-07-06
  2. New forecasting methods for an old problem
    predicting 147 years of systemic financial crises
    Author: Plessis, Emile du; Fritsche, Ulrich
    Published: [2022]
    Publisher:  WiSo-Forschungslabor, Hamburg

    A reflection on the lackluster growth over the decade since the Global Financial Crisis has renewed interest in preventative measures for a long-standing problem. Advances in machine learning algorithms during this period present promising... more

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    A reflection on the lackluster growth over the decade since the Global Financial Crisis has renewed interest in preventative measures for a long-standing problem. Advances in machine learning algorithms during this period present promising forecasting solutions. In this context, the paper develops new forecasting methods for an old problem by employing 13 machine learning algorithms to study 147 year of systemic financial crises across 17 countries. It entails 12 leading indicators comprising real, banking and external sectors. Four modelling dimensions encompassing a contemporaneous pooled format through an expanding window, transformations with a lag structure and 20-year rolling window as well as individual format are implemented to assess performance through recursive out-of-sample forecasts. Findings suggest fixed capital formation is the most important variable. GDP per capita and consumer inflation have increased in prominence whereas debt-to-GDP, stock market and consumption were dominant at the turn of the 20th century. Through a lag structure, banking sector predictors on average describe 28 percent of the variation in crisis prevalence, real sector 64 percent and external sector 8 percent. A lag structure and rolling window both improve on optimised contemporaneous and individual country formats. Nearly half of all algorithms reach peak performance through a lag structure. As measured through AUC, F1 and Brier scores, top performing machine learning methods consistently produce high accuracy rates, with both random forests and gradient boosting in front with 77 percent correct forecasts. Top models contribute added value above 20 percentage points in most instances and deals with a high degree of complexity across several countries.

     
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    hdl: 10419/264550
    Series: WiSo-HH working paper series ; no. 67 (September 2022)
    Subjects: machine learning; systemic financial crises; leading indicators; forecasting; early warning signal
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  3. German economy overcomes slowdown only gradually
    Author: Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Meuchelböck, Saskia; Stolzenburg, Ulrich
    Published: 2019
    Publisher:  [Kiel Institute for the World Economy], [Kiel]

    The German economy is recovering only gradually. After a weak summer half-year, gross domestic product will hardly do more than stagnate in the final quarter of the current year. Economic activity still provides two contrasting pictures. The main... more

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    The German economy is recovering only gradually. After a weak summer half-year, gross domestic product will hardly do more than stagnate in the final quarter of the current year. Economic activity still provides two contrasting pictures. The main reason for the ongoing downturn, which began last year, is the significant decline in industrial production. This was mainly due to the gloomy global economic environment, since reduced investment worldwide due to the high level of global economic uncertainty had a particularly negative impact on the German economy, which is specialized in the production of capital goods. In the meantime, the investment climate in Germany has also deteriorated noticeably. As a result, companies are likely to significantly reduce their investment activity in the coming quarters. The weak industrial economy is also increasingly affecting the industry-related services companies. In contrast, the consumer-related service sectors continue to expand. Despite the fact that employment growth has now slowed considerably, disposable incomes of private households continue to rise significantly. In addition to wage increases which continue to be quite strong, numerous income-increasing fiscal policy measures are also contributing to this. The construction industry is still booming, not least due to the continuing favorable financing conditions. Over the course of the coming year, overall economic production should gradually pick up again somewhat. This is supported by the slight recovery in the global economy. As a result, industrial production should find its bottom and at least pick up again somewhat. At 1.1 percent, GDP growth in 2020 is likely to be much higher than in the current year, where an increase by 0.5 percent is expected. However, the higher growth rate in the coming year is primarily due to the higher number of working days. Against this backdrop, the surpluses of public budgets will decline significantly: While spending will continue to expand strongly, revenues will be noticeably burdened by the weak economy. After the record surplus of over 60 billion euros in 2018, we expect a slight deficit in 2021.

     
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    Source: Union catalogues
    Language: English
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    hdl: 10419/213896
    Series: Kiel Institute economic outlook ; Nr.62 (2019/Q4)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook
    Scope: 1 Online-Ressource (23 Seiten), Illustrationen
  4. Germany at the brink of recession
    Author: Ademmer, Martin; Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Potjagailo, Galina; Wolters, Maik H.
    Published: 2019
    Publisher:  [Kiel Institute for the World Economy], [Kiel]

    The German economy is at the brink of a recession. Gross domestic product is likely to decline again in the third quarter. Germany would thus formally be in a technical recession. However, the slowdown that began in 2018 has so far been a... more

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    The German economy is at the brink of a recession. Gross domestic product is likely to decline again in the third quarter. Germany would thus formally be in a technical recession. However, the slowdown that began in 2018 has so far been a normalization of the previous boom period. At present, capacity utilization of firms is roughly in line with their long-term average. A pronounced recession would occur if capacity utilization were to fall noticeably further. Risks for such a recession have increased, especially as the weakness in the manufacturing sector is increasingly having an impact on the service sector. At present, however, it seems more likely that the German economy will pick up slightly in the coming year. Overall, we now expect lower growth rates for gross domestic product of 0.4 percent for the current year and 1 percent for 2020 compared to our summer forecast (0.6 and 1.6 percent, respectively). So far, the downturn has been characterized by the fact that economic momentum in Germany has cooled off more than in many other countries. To some extent, this is due to the fact that the German economy had previously been in a pronounced boom, and thus the height of fall was higher than elsewhere. In addition, the high level of political uncertainty worldwide, resulting primarily from the ongoing trade conflicts, is likely to weigh particularly on production in Germany. Against this backdrop, exports are likely to pick up only gradually. Private consumer spending will continue to expand at robust rates. Though the weaker economy is having a noticeable effect on the labor market-the number of unemployed will probably continue to rise for the time being and employment will fall in the coming year for the first time since the Great Recession-, disposable household income is set to rise with robust rates, not least because labor shortages will continue to contribute to quite strong wage increases and because several fiscal measures will support incomes. Business investment, on the other hand, is likely to be clearly on the downside temporarily due to the pessimistic sales outlook. Government surpluses will decline noticeably in the forecast period, as expenditure will continue to expand strongly, while revenues will be burdened by the economic slowdown. In 2021, the public budget balance will thus probably be negative for the first time since 2011.

     
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    hdl: 10419/209513
    Series: Kiel Institute economic outlook ; Nr.59 (2019/Q3)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook
    Scope: 1 Online-Ressource (23 Seiten), Illustrationen
  5. Digital connectivity in Sub-Saharan Africa
    a comparative perspective
    Author: Alper, C. Emre; Miktus, Michal
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    Higher digital connectivity is expected to bring opportunities to leapfrog development in sub-Saharan Africa (SSA). Experience within the region demonstrates that if there is an adequate digital infrastructure and a supportive business environment,... more

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    Higher digital connectivity is expected to bring opportunities to leapfrog development in sub-Saharan Africa (SSA). Experience within the region demonstrates that if there is an adequate digital infrastructure and a supportive business environment, new forms of business spring up and create jobs for the educated as well as the less educated. The paper first confirms the global digital divide through the unsupervised machine learning clustering K-means algorithm. Next, it derives a composite digital connectivity index, in the spirit of De Muro-Mazziotta-Pareto, for about 190 economies. Descriptive analysis shows that majority of SSA countries lag in digital connectivity, specifically in infrastructure, internet usage, and knowledge. Finally, using fractional logit regressions we document that better business enabling and regulatory environment, financial access, and urbanization are associated with higher digital connectivity

     
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  6. German economy
    v(irus)-shaped recession ahead
    Author: Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Meuchelböck, Saskia
    Published: 2020
    Publisher:  [Kiel Institute for the World Economy], [Kiel]

    The spread of the coronavirus will have a considerable impact on the German economy. The economy will be hit in a situation in which it was just about to regain footing after the downturn of the past year. Recently, signs have been increasing that... more

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    The spread of the coronavirus will have a considerable impact on the German economy. The economy will be hit in a situation in which it was just about to regain footing after the downturn of the past year. Recently, signs have been increasing that industrial production is finding its bottom and is gradually emerging from recession. The actual economic damage caused by the coronavirus can hardly be quantified at present. First, the effects are not yet reflected in available leading indicators. Second, the further development of the pandemic is uncertain, especially as the economic consequences depend to a large extent on the measures taken to contain the virus. For our forecast, we assume that the coronavirus will dampen economic activity, especially in the first half of the year, and that there will be noticeable catch-up effects thereafter. In this scenario, the economic picture will resemble a pronounced V-shape in the course of this year. It is already foreseeable that foreign trade will be significantly affected in the coming months. Trade with China but also with other regions particularly affected by the virus is likely to decline significantly. In this regard, delivery problems for intermediate goods could lead to noticeable production shortfalls. In addition, the spread of the virus is also likely to have a significant impact on the domestic economy. In particular, private households will probably cut back on leisure spending in order to avoid infection. In light of the uncertain development of the pandemic, we expect firms to postpone investment projects. At the same time, the impact on employment is likely to be small if the largest negative effects are indeed limited to the first half of the year. All in all, we expect a slight decline in gross domestic product of 0.1 percent for the current year. In our most recent winter forecast, we had still assumed an increase of 1.1 percent. In 2021, GDP is projected to grow quite strongly by 2.3 percent, also due to catch-up effects. However, the downside risks to our forecast prevail and, depending on the further development of the corona pandemic, significantly more negative scenarios are also possible.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    hdl: 10419/215732
    Series: Kiel Institute economic outlook ; Nr.65 (2020/Q1)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook
    Scope: 1 Online-Ressource (23 Seiten), Illustrationen
  7. The Global Economic Barometers
    composite indicators for the world economy
    Author: Abberger, Klaus; Graff, Michael; Campelo, Aloisio; Lemos Gouveia, Anna Carolina; Müller, Oliver; Sturm, Jan-Egbert
    Published: 2020-02
    Publisher:  KOF, Zurich, Switzerland

    This paper presents a coincident and a leading composite monthly indicator for the world business cycle - the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages.... more

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    This paper presents a coincident and a leading composite monthly indicator for the world business cycle - the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection procedure, in which a pre-set correlation threshold and the targeted leads to a reference series are used as selection criteria. In the second stage, the selected variables are combined and transformed into the respective composite indicators, computed as the first partial least squares factor with the reference series as response variable. In the last vintage referred to in this paper (December 2018), out of 6605 transformations from 1681 variables tested in the first stage, 1275 are selected to enter into the coincident and 1228 into the leading composite indicator. We analyse the characteristics of the two new indicators in a pseudo real-time setting and demonstrate that both are useful additions to the small number of indicators for the global business cycle published so far.

     
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    hdl: 20.500.11850/401651
    hdl: 10419/235085
    Series: KOF working papers ; no. 471 (February 2020)
    Subjects: Business cycles; growth rate cycles; composite indicators; leading indicators; coincidentindicators; partial least squares; real-time simulations
    Scope: 1 Online-Ressource (circa 85 Seiten)
  8. Quick rebound, but Pandemic weighs on full recovery
    Author: Ademmer, Martin; Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Meuchelböck, Saskia
    Published: 2020
    Publisher:  Kiel Institute for the World Economy, Kiel

    The German economy is recovering from the COVID-19 shock. With the successful containment of the coronavirus, output has quickly rebounded from its trough in April and has made up a good part of the losses within a few months. This strong momentum... more

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    The German economy is recovering from the COVID-19 shock. With the successful containment of the coronavirus, output has quickly rebounded from its trough in April and has made up a good part of the losses within a few months. This strong momentum essentially reflects the normalization of economic activity after the lockdown. Further recovery is likely to be much more gradual. Some industries are still noticeably affected by the pandemic. Foreign business is also likely to suffer for some time, particularly as infections have recently threatened to flare up again in many places and important export destinations have been hit hard by the crisis. Against this backdrop, companies will be cautious with investments for the time being, especially because there is still uncertainty about how long the pandemic will weigh on business activity. By contrast, private consumer spending is likely to recover more rapidly as private households will normalize their savings rate, which had swollen to record levels during the lockdown, and as labor incomes will be stimulated by the recovery at the labor market. For the current year, we expect GDP to decline by 5.5 percent. The upward revision of 1.3 percentage points compared to our summer forecast is mainly due to the fact that the rebound began earlier than expected. Accordingly, we have reduced our forecast for GDP growth in 2021 to 4.8 percent (summer forecast: 6.3 percent). With a further increase in GDP of 2.4 percent in 2022, capacity utilization is by and large expected to return to normal levels. The fiscal balance will slide into a significant deficit of 5 percent in 2020. The debt-to-GDP ratio increases from almost 60 percent to more than 70 percent. Despite the economic recovery, public budgets will be in deficit throughout the entire forecast period.

     
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    hdl: 10419/226011
    Series: Kiel Institute economic outlook ; Nr. 71 (2020/Q3)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook; COVID19
    Scope: 1 Online-Ressource (24 Seiten), Illustrationen
  9. COVID-19 and the CPI
    is inflation underestimated?
    Author: Reinsdorf, Marshall B.
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    COVID-19 changed consumers' spending patterns, making the CPI weights suddenly obsolete. In most regions, adjusting the CPI weights to account for the changes in spending patterns increases the estimate of inflation over the early months of the... more

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    COVID-19 changed consumers' spending patterns, making the CPI weights suddenly obsolete. In most regions, adjusting the CPI weights to account for the changes in spending patterns increases the estimate of inflation over the early months of the pandemic. Under-weighting of rising food prices and over-weighting of falling transport prices are the main causes of the underestimation of inflation. Updated CPI weights should be developed as soon as is feasible, but flux in spending patterns during the pandemic complicates the development as quickly as 2021 of weights that represent post-pandemic spending patterns

     
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  10. Second Covid wave interrupts recovery
    Author: Ademmer, Martin; Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Meuchelböck, Saskia
    Published: 2020
    Publisher:  Kiel Institute for the World Economy, Kiel

    The recovery of the German economy is interrupted. The main reasons are the second Covid wave and the shutdown measures that have been implemented since November. Since these measures will, at least to some extent, probably remain in place for some... more

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    The recovery of the German economy is interrupted. The main reasons are the second Covid wave and the shutdown measures that have been implemented since November. Since these measures will, at least to some extent, probably remain in place for some time to come, GDP will decline in the final quarter of this year and in the first quarter of next year. However, these declines will not reach the extent seen in spring and will be much more concentrated on specific, consumption-focused industries. Several of these industries have not yet fully recovered from the slump in spring, so that less economic activity will be lost there in the winter half-year. In addition, exports are likely to remain on an upward trend in view of the relatively robust global economy. Against this backdrop industry will probably come through the winter half-year without a slump in production. All in all, we now expect a lower GDP growth rate of 3.1 percent next year compared to our autumn forecast (4.8 per cent), after a decline of 5.2 per cent in the current year. If the pandemic can be suppressed sustainably from spring onwards, a strong recovery will take place in the course of the coming year and will lead to a strong increase in GDP of 4.5 percent in 2022 (autumn forecast: 2.4 percent). The labor market will show a similar pattern as GDP so that the recovery here will take place with some delay as well. As the temporary slowdown in the winter half-year will dampen governmental revenues and the shutdown will be accompanied by further aid payments, fiscal budget will be additionally burdened. We expect fiscal budget deficits of 4.9 per cent relative to GDP for the current year and 4.1 per cent for next year. In 2022, the deficit is expected to fall to 1.8 percent.

     
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    hdl: 10419/229943
    Series: Kiel Institute economic outlook ; Nr. 74 (2020/Q4)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  11. Recovery ready for second take off
    Author: Ademmer, Martin; Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Meuchelböck, Saskia
    Published: 2021
    Publisher:  Kiel Institute for the World Economy, Kiel

    The second wave of the Covid-19 pandemic has interrupted the recovery in Germany. GDP is set to decline in the first quarter of this year, after stagnating in the previous quarter. However, with the vaccination campaign progressing, the economic... more

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    The second wave of the Covid-19 pandemic has interrupted the recovery in Germany. GDP is set to decline in the first quarter of this year, after stagnating in the previous quarter. However, with the vaccination campaign progressing, the economic burden of the pandemic will ease and the recovery will continue at a rapid pace. Unlike last year, the economic losses are currently much more concentrated on consumer-related service industries and retail trade. Even though the negative impact on private consumer spending is currently even more severe than at the beginning of the pandemic, the overall economic impact will be much smaller. The main reason is that the export business continues to recover. Moreover, with sustained relief in sight for many companies due to the availability of effective vaccines, there will be no major decline in investment. Overall, GDP is expected to pick up strongly with growth rates of 3.7 percent this year and 4.8 percent next year, following the decline of 4.9 per cent in 2020. The recovery at the labor market will take more time. On average, employment is not yet expected to be higher in 2021 than in 2020; it will only pick up noticeably in 2022. Inflation is expected to rise significantly above 2 percent this year. However, temporary factors will contribute significantly to this increase and therefore the inflation rate is expected to decline again in 2022. Finally, the pandemic is also leaving its mark on public budgets. Due to the pandemic-related additional expenditures and revenue shortfalls, the budget deficit this year will once again be well above 4 percent relative to GDP. In 2022, the deficit will probably decline significantly to 1.3 per cent. The debt level will then be just under 70 per cent again.

     
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    hdl: 10419/236718
    Series: Kiel Institute economic outlook ; Nr. 77 (2021/Q1)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook; Business Cycle Germany; Fiscal Policy & National Budgets; Labor Market
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  12. Building daily economic sentiment indicators
    Author: Rey del Castillo, Pilar
    Published: November 2022
    Publisher:  CESifo, Munich, Germany

    The availability of copious amounts of data produced by the increasing datification of our society is nowadays deemed an opportunity to produce timely and convenient statistical information. This paper shows the building of economic sentiment indexes... more

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    The availability of copious amounts of data produced by the increasing datification of our society is nowadays deemed an opportunity to produce timely and convenient statistical information. This paper shows the building of economic sentiment indexes from the texts of the most read economic newspapers in Spain. The data are collected through the scraping of the Digital Periodical and Newspaper Library website. To compute the sentiment, an existing emotional lexicon for Spanish words has been customized, allowing for inferring sentiment for words in texts. The resulting indexes are later compared to other well-known indicators that try to monitor similar or related phenomena.

     
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    Series: CESifo working papers ; 10087 (2022)
    Subjects: index numbers; large datasets; leading indicators; proxy variables; sentiment analysis; web scraping
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  13. German economy autumn 2021
    protracted catching-up process
    Author: Ademmer, Martin; Boysen-Hogrefe, Jens; Groll, Dominik; Jannsen, Nils; Kooths, Stefan; Meuchelböck, Saskia; Stolzenburg, Ulrich
    Published: [2021]
    Publisher:  Kiel Institute for the World Economy, Kiel

    The recovery of the German economy needs more time. Ongoing precautionary measures to protect against infection as well as the supply bottlenecks will slow down the catch-up process in the winter. Especially in those service sector that have been... more

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    The recovery of the German economy needs more time. Ongoing precautionary measures to protect against infection as well as the supply bottlenecks will slow down the catch-up process in the winter. Especially in those service sector that have been particularly affected by the pandemic the recovery is likely to slow down. Moreover, supply bottlenecks have increased noticeably and will probably only ease gradually. Once the economic burdens of the pandemic and the supply bottlenecks will have eased in the coming spring, the recovery will regain strength and economic activity will quickly return to normal. Overall, GDP will increase by 2.6 percent this year, making up only part of the losses of 2020 when it declined by 4.6 percent. The recovery will become fully visible in the 2022 growth rate of 5.1 percent. In 2023, GDP is also expected to increase markedly by 2.3 percent as some of the previously lost economic activity will still be made up for. The high inflation rate of 2.9 percent this year is largely due to temporary factors. However, they are likely to persist until next year and will lead to another strong increase in consumer prices before inflation moderates again in 2023. On the labour market, the negative impact of the pandemic will probably be overcome quickly and the unemployment rate will fall from 5.9 percent in 2020 to 5.1 percent in 2023. The recovery from the Covid-19 crisis will also be reflected in the public budget. After an increase to about 5 percent relative to GDP this year, the public deficit is expected to fall to 0.7 percent in 2023 amid the phasing out of pandemic-related aid and the recovery of GDP.

     
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    hdl: 10419/246847
    Series: Kiel Institute economic outlook ; Nr. 83 (2021/Q3)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook; COVID19
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  14. A thousand words tell more than just numbers
    financial crises and historical headlines
    Author: Ristolainen, Kim; Roukka, Tomi; Nyberg, Henri
    Published: November 2021
    Publisher:  Aboa Centre for Economics, Turku

    We show that financial crises are preceded by changes in specific types of narrative information contained in newspaper article titles. Our novel international dataset and the resulting empirical evidence are gathered by integrating information from... more

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    We show that financial crises are preceded by changes in specific types of narrative information contained in newspaper article titles. Our novel international dataset and the resulting empirical evidence are gathered by integrating information from a large panel of economic news articles in global newspapers between the years 1870 and 2016 with conventional macroeconomic and financial indicators. We find that the predictive information of newspaper article titles that signals coming crisis episodes is substantial ver and above the macroeconomic and financial indicators. The new indicators capture common features that have often been discussed as potential causes of specific crises but which have not been incorporated into empirical models.

     
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    Series: Discussion paper / Aboa Centre for Economics ; no. 149
    Subjects: financial crisis; text data; leading indicators; topic model
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  15. The forecasting power of the ifo business survey
    Author: Lehmann, Robert
    Published: May 2020
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    The ifo Institute is Germany’s largest business survey provider, with the ifo Business Climate Germany as one of the most important leading indicators for gross domestic product. However, the ifo Business Survey is not solely limited to the Business... more

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    The ifo Institute is Germany’s largest business survey provider, with the ifo Business Climate Germany as one of the most important leading indicators for gross domestic product. However, the ifo Business Survey is not solely limited to the Business Climate and also delivers a multitude of further indicators to forecast several important economic variables. This paper gives a literature overview over existing studies that deal with the forecasting power of various ifo indicators both for gross domestic product and further economic variables such as exports. Overall, the various indicators from the ifo Business Survey can be seen as leading indicators for a multitude of variables representing the German economy, making them a powerful tool both for an in-depth business cycle diagnosis and for applied forecasting work.

     
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    hdl: 10419/219109
    Series: CESifo working paper ; no. 8291 (2020)
    Subjects: economic forecasting; business surveys; leading indicators
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  16. Fiscal resilience building
    insights from a new tax revenue diversification index
    Author: Compaoré, Ali; Ouedraogo, Rasmane; Sow, Moussé Ndoye; Tapsoba, René
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Does the reliance on diversified tax structure enhance resilience to fiscal risks? This paper gives an answer to this question by proposing a new cross-country tax revenue diversification index (RDI). The RDI builds on the Theil index, and unlike the... more

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    Does the reliance on diversified tax structure enhance resilience to fiscal risks? This paper gives an answer to this question by proposing a new cross-country tax revenue diversification index (RDI). The RDI builds on the Theil index, and unlike the few existing tax diversification indices, which are constructed only at the state level for the US, is computed at the national level, covering a broad panel of 127 countries over the period 2000-15. We find suggestive evidence that tax revenue diversification reduces tax revenue volatility, thus bringing to the data long-held views about the prominence of tax revenue diversification for fiscal resilience strengthening. While exploring the drivers of the RDI, we find that tax revenue diversification is not just a reflection of economic diversification, but also an outcome of macroeconomic, political and institutional factors. Interestingly, a non-monotone relationship is also at play between the RDI and economic development, with countries' portfolio of tax sources getting more diversified as their economy develops, until a tipping point, where richer countries start finding it harder to diversify further their tax revenue sources

     
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  17. German economy in Spring 2023
    economy is stabilizing but little momentum going forward
    Author: Boysen-Hogrefe, Jens; Groll, Dominik; Hoffmann, Timo; Jannsen, Nils; Kooths, Stefan; Sonnenberg, Nils; Stamer, Vincent
    Published: 2023
    Publisher:  Kiel Institute for the World Economy, Kiel

    The recovery of the global economy from the Covid crisis came to an end in 2022 amid high energy prices and great uncertainty. While the energy crisis is easing, the effects of monetary policy, which was tightened rather late but then very quickly,... more

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    The recovery of the global economy from the Covid crisis came to an end in 2022 amid high energy prices and great uncertainty. While the energy crisis is easing, the effects of monetary policy, which was tightened rather late but then very quickly, are now increasingly weighing on growth. World output slowed to a crawl toward the end of the year and is expected to expand only moderately in the current year despite a post-Covid revival in China. Measured on a purchasing power parity basis, we anticipate global growth of 2.5 percent in 2023, following 3.2 percent last year. We have raised our forecast for 2023 by 0.4 percentage points from December, partly because of the improved situation on energy markets and partly because the economy in the United States has proved more robust than expected. Our forecast for 2024 remains unchanged at 3.2 percent. Although inflation is likely to fall significantly in the coming months thanks to lower commodity prices, underlying inflation is likely to remain high for the time being and will not return to near the target levels before the end of the forecast horizon.

     
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    hdl: 10419/271183
    Series: Kiel Institute economic outlook ; Nr. 101 (2023/Q1)
    Subjects: business cycle forecast; stabilization policy; leading indicators; outlook
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  18. German economy in summer 2023
    crawling out of the crisis
    Author: Boysen-Hogrefe, Jens; Groll, Dominik; Hoffmann, Timo; Jannsen, Nils; Kooths, Stefan; Sonnenberg, Nils; Stamer, Vincent
    Published: 2023
    Publisher:  Kiel Institute for the World Economy, Kiel

    The renewed decline in GDP in the first quarter and the recent deterioration in leading indicators have increased concerns that the aftermath of the energy crisis and the tightening of monetary policy may weigh more heavily on the economy than... more

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    The renewed decline in GDP in the first quarter and the recent deterioration in leading indicators have increased concerns that the aftermath of the energy crisis and the tightening of monetary policy may weigh more heavily on the economy than expected. However, all in all it is more likely that the German economy will return to a moderate expansionary path in the course of the year, despite the headwinds. The decline in GDP in the first quarter was mainly due to a one-time slump in public consumption, rather than reflecting a broad-based economic slowdown. The manufacturing industry can rely on its still high order backlogs. Consumer-related service industries will benefit from strong wage increases. Altogether, GDP is likely to decline by 0.3 percent this year due to the weak economic activity in the winter half-year (spring forecast: +0.5 percent). For 2024, we expect an increase of 1.8 percent (spring forecast: 1.4 percent). Inflation will decrease significantly in the course of the year. On average, however, consumer prices will still rise strongly by 5.8 percent this year. In the next year, inflation will be significantly lower at about 2 percent. The labour market will be less affected by the current phase of economic weakness than by the demographically induced decline in labour supply, which is likely to lead to a decline in the number of people employed in 2024. The public budget deficit is expected to fall from 2.7 percent relative to GDP in 2022 to 0.9 percent in 2024, despite the weak economic momentum.

     
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    hdl: 10419/279699
    Series: Kiel Institute economic outlook ; Nr. 104 (2023/Q2)
    Subjects: business cycle forecast; leading indicators; outlook; stabilization policy
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  19. Predictive ability of business cycle indicators under test
    a case study for the Euro Area industrial production
    Author: Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina Elisabeth
    Published: 2010
    Publisher:  Univ., Volkswirtschaftl. Fak., München

    In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast... more

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    In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast models. In addition to the standard Diebold-Mariano test, we employ tests that account for specific problems typically encountered in forecast exercises. Specifically, we pay attention to nested model structures, we alleviate the problem of data snooping arising from multiple pairwise testing, and we analyze the structural stability in the relative forecast performance of one indicator compared to a benchmark model. Moreover, we consider loss functions that overweight forecast errors in booms and recessions to check whether a specific indicator that appears to be a good choice on average is also preferable in times of economic stress. We find that on average three indicators have superior forecast ability, namely the EuroCoin indicator, the OECD composite leading indicator, and the FAZ-Euro indicator published by the Frankfurter Allgemeine Zeitung. If one is interested in one-month forecasts only, the business climate indicator of the European Commission yields the smallest errors. However, the results are not completely invariant against the choice of the loss function. Moreover, rolling local tests reveal that the indicators are particularly useful in times of unusual changes in industrial production while the simple autoregressive benchmark is difficult to beat during time of average production growth.

     
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    hdl: 10419/104314
    Series: Münchener wirtschaftswissenschaftliche Beiträge ; 2010-16
    Subjects: Industrieproduktion; Wirtschaftsindikator; Frühindikator; Prognoseverfahren; Statistischer Test; Eurozone; weighted loss; leading indicators; euro area; forecasting
    Scope: Online-Ressource (27 S., 229 KB), graph. Darst.
  20. Do leading indicators help to predict business cycle turning points in Germany?
    Author: Fritsche, Ulrich; Kouzine, Vladimir
    Published: 2002
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  21. Do leading indicators help to predict business cycle turning points in Germany?
    Author: Fritsche, Ulrich; Kouzine, Vladimir
    Published: 2002
    Publisher:  DIW, Berlin

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  22. Fiscal resilience building
    insights from a new tax revenue diversification index
    Author: Compaoré, Ali; Ouedraogo, Rasmane; Sow, Moussé Ndoye; Tapsoba, René
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Does the reliance on diversified tax structure enhance resilience to fiscal risks? This paper gives an answer to this question by proposing a new cross-country tax revenue diversification index (RDI). The RDI builds on the Theil index, and unlike the... more

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    Does the reliance on diversified tax structure enhance resilience to fiscal risks? This paper gives an answer to this question by proposing a new cross-country tax revenue diversification index (RDI). The RDI builds on the Theil index, and unlike the few existing tax diversification indices, which are constructed only at the state level for the US, is computed at the national level, covering a broad panel of 127 countries over the period 2000-15. We find suggestive evidence that tax revenue diversification reduces tax revenue volatility, thus bringing to the data long-held views about the prominence of tax revenue diversification for fiscal resilience strengthening. While exploring the drivers of the RDI, we find that tax revenue diversification is not just a reflection of economic diversification, but also an outcome of macroeconomic, political and institutional factors. Interestingly, a non-monotone relationship is also at play between the RDI and economic development, with countries' portfolio of tax sources getting more diversified as their economy develops, until a tipping point, where richer countries start finding it harder to diversify further their tax revenue sources

     
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  23. COVID-19 and the CPI
    is inflation underestimated?
    Author: Reinsdorf, Marshall B.
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    COVID-19 changed consumers' spending patterns, making the CPI weights suddenly obsolete. In most regions, adjusting the CPI weights to account for the changes in spending patterns increases the estimate of inflation over the early months of the... more

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    COVID-19 changed consumers' spending patterns, making the CPI weights suddenly obsolete. In most regions, adjusting the CPI weights to account for the changes in spending patterns increases the estimate of inflation over the early months of the pandemic. Under-weighting of rising food prices and over-weighting of falling transport prices are the main causes of the underestimation of inflation. Updated CPI weights should be developed as soon as is feasible, but flux in spending patterns during the pandemic complicates the development as quickly as 2021 of weights that represent post-pandemic spending patterns

     
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  24. Introducing a new broad-based index of financial development
    Author: Svirydzenka, Katsiaryna
    Published: January 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    There is a vast body of literature estimating the impact of financial development on economic growth, inequality, and economic stability. A typical empirical study approximates financial development with either one of two measures of financial depth... more

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    There is a vast body of literature estimating the impact of financial development on economic growth, inequality, and economic stability. A typical empirical study approximates financial development with either one of two measures of financial depth - the ratio of private credit to GDP or stock market capitalization to GDP. However, these indicators do not take into account the complex multidimensional nature of financial development. The contribution of this paper is to create nine indices that summarize how developed financial institutions and financial markets are in terms of their depth, access, and efficiency. These indices are then aggregated into an overall index of financial development. With the coverage of 183 countries on annual frequency between 1980 and 2013, the database should offer a useful analytical tool for researchers and policy makers

     
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  25. Digital connectivity in Sub-Saharan Africa
    a comparative perspective
    Author: Alper, C. Emre; Miktus, Michal
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    Higher digital connectivity is expected to bring opportunities to leapfrog development in sub-Saharan Africa (SSA). Experience within the region demonstrates that if there is an adequate digital infrastructure and a supportive business environment,... more

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    Higher digital connectivity is expected to bring opportunities to leapfrog development in sub-Saharan Africa (SSA). Experience within the region demonstrates that if there is an adequate digital infrastructure and a supportive business environment, new forms of business spring up and create jobs for the educated as well as the less educated. The paper first confirms the global digital divide through the unsupervised machine learning clustering K-means algorithm. Next, it derives a composite digital connectivity index, in the spirit of De Muro-Mazziotta-Pareto, for about 190 economies. Descriptive analysis shows that majority of SSA countries lag in digital connectivity, specifically in infrastructure, internet usage, and knowledge. Finally, using fractional logit regressions we document that better business enabling and regulatory environment, financial access, and urbanization are associated with higher digital connectivity

     
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