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Displaying results 1 to 4 of 4.

  1. 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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  2. 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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  3. Forecasting economic activity in Germany
    how useful are sentiment indicators?
    Author: Hüfner, Felix; Schröder, Michael
    Published: September 2002
    Publisher:  ZEW, Mannheim

    We analyze four economic sentiment indicators for the German economy regarding their ability to forecast economic activity. Using cross correlations and Granger causality tests we find that the ifo business expectations (ifo), the Purchasing Managers... more

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 15 (2002,56)
    Inter-library loan:
    No inter-library loan

     

    We analyze four economic sentiment indicators for the German economy regarding their ability to forecast economic activity. Using cross correlations and Granger causality tests we find that the ifo business expectations (ifo), the Purchasing Managers Index (PMI) and the ZEW Indicator of Economic Sentiment (ZEW) lead the yearon-year growth rate of German industrial production by five months. Taking into account the publication lag of industrial production this lead is even larger. On the contrary, the European Commission's Economic Sentiment Indicator (ESIN) does not exhibit a lead but rather seems to coincide or even lag economic activity. Analyzing lead/lag structures among the indicators we find that the ZEW indicator leads the ifo business expectations significantly by one month and that the latter has a onemonth lead over the PMI. Out-of-sample forecast evaluations suggest that both ifo and ZEW provide the best forecasts for industrial production among the three indicators ifo, PMI and ZEW. It is found that the ZEW indicator performs better than the ifo and PMI over the whole sample (Jan. 1994 - Mar. 2002) and especially over horizons from six to twelve months. The ifo expectations predict better at shorter horizons (up to three months) and is superior to the ZEW and PMI indicator when a shorter sample (Jan. 1998 - Mar. 2002) is regarded.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/24588
    Series: ZEW discussion paper ; no. 02-56
    Subjects: Frühindikator; Prognoseverfahren; Frühindikator; Wirtschaftsindikator; Schätzung; Deutschland; leading indicators; Germany; ifo; zew; PMI; ESIN
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  4. Are stock returns a leading indicator for real macroeconomic developments?
    Author: Burgstaller, Johann
    Published: 2002
    Publisher:  Univ., Dep. of Economics, Linz

    I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 398 (2002,7)
    Inter-library loan:
    No inter-library loan

     

    I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is consistently priced on stock markets. This would not be the case if past macroeconomic developments could be used to improve forecasts of subsequent stock returns. Time series models are used to investigate the respective long-run relations between stock prices and other macroeconomic variables as well as short-term dynamics. I conclude that none of the markets under study is efficient in the above-mentioned strict sense. Only U.S. stock returns lead private consumption and, rather weakly, retail sales growth.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/73294
    Series: Working paper / Department of Economics, Johannes Kepler University of Linz ; 0207
    Subjects: Kapitaleinkommen; Aktienmarkt; Effizienzmarkthypothese; Zeitreihenanalyse; Japan; USA; Österreich; Wirkungsanalyse; Stock returns; stock market efficiency; leading indicators; macroeconomic variables; vector error correction models
    Scope: Online-Ressource (22 S.), graph. Darst.