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Displaying results 51 to 58 of 58.

  1. 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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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 15 (2002,56)
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    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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    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
  2. Outperforming IMF forecasts by the use of leading indicators
    conference paper
    Author: Heinisch, Katja; Giesen, Sebastian; Lindner, Axel
    Published: 2014
    Publisher:  ZBW, [Kiel

    This study analyzes the performance of the IMF World Economic Outlook forecasts for world output and the aggregates of both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current and the next... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DSM 13
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    This study analyzes the performance of the IMF World Economic Outlook forecasts for world output and the aggregates of both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current and the next year, we examine whether IMF forecasts can be improved by using leading indicators with monthly updates. Using a real-time dataset for GDP and for the indicators we find that some simple single-indicator forecasts on the basis of data that are available at higher frequency can significantly outperform the IMF forecasts if the publication of the Outlook is only a few months old.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/100393
    Series: Array ; V2
    Subjects: IMF WEO forecasts; leading indicators; real-time data
    Scope: Online-Ressource (26 S.), graph. Darst.
  3. How to better measure hedonic residential property price indexes
    Author: Silver, Mick S.
    Published: November 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Hedonic regressions are used for property price index measurement to control for changes in the quality-mix of properties transacted. The paper consolidates the hedonic time dummy approach, characteristics approach, and imputation approaches. A... more

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    Orient-Institut Beirut
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    Online
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Bibliothek der Pädagogischen Hochschule Freiburg/Breisgau
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Technische Universität Hamburg, Universitätsbibliothek
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    e-Book Nationallizenz
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    Thüringer Universitäts- und Landesbibliothek
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    Fachhochschule Kiel, Zentralbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 301 (2016,213)
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    Universitätsbibliothek Leipzig
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Duale Hochschule Baden-Württemberg Mosbach, Bibliothek
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    E-Book Nationallizenz IMF
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    Hochschule Offenburg, University of Applied Sciences, Bibliothek Campus Offenburg
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    E-Book International Monetary Fund
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    Hochschulbibliothek Pforzheim, Bereichsbibliothek Technik und Wirtschaft
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    e-Book International Monetary Fund eLibrary
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    Hochschule Albstadt-Sigmaringen, Bibliothek Sigmaringen
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    Duale Hochschule Baden-Württemberg Villingen-Schwenningen, Bibliothek
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    E_Book IMF
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    Hedonic regressions are used for property price index measurement to control for changes in the quality-mix of properties transacted. The paper consolidates the hedonic time dummy approach, characteristics approach, and imputation approaches. A practical hedonic methodology is proposed that (i) is weighted at a basic level; (ii) has a new (quasi-) superlative form and thus mitigates substitution bias; (iii) is suitable for sparse data in thin markets; and (iv) only requires the periodic estimation of hedonic regressions for reference periods and is not subject to the vagrancies of misspecification and estimation issues

     
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  4. What predicts U.S. recessions?
    Author: Liu, Weiling; Mönch, Emanuel
    Published: 2014
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 207 (691)
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    We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term spread has the highest predictive power at horizons four to six quarters ahead, adding lagged observations of the term spread significantly improves the predictability of recessions at shorter horizons. Moreover, balances in broker-dealer margin accounts significantly improve the precision of recession predictions, especially at horizons further out than one year.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/120818
    Series: Staff report / Federal Reserve Bank of New York ; 691
    Subjects: recession predictability; ROC; term spread; leading indicators; efficient probit estimator
    Scope: Online-Ressource (32 S.), graph. Darst.
  5. Outperforming IMF forecasts by the use of leading indicators
    Author: Heinisch, Katja; Giesen, Sebastian; Lindner, Axel
    Published: 2014
    Publisher:  Inst. für Wirtschaftsforschung, Halle (Saale)

    This study analyzes the performance of the IMF World Economic Outlook forecasts for world output and the aggregates of both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current and the next... more

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    eBook
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 13 (2014,4)
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    This study analyzes the performance of the IMF World Economic Outlook forecasts for world output and the aggregates of both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current and the next year, we examine whether IMF forecasts can be improved by using leading indicators with monthly updates. Using a real-time dataset for GDP and for the indicators we find that some simple single-indicator forecasts on the basis of data that are available at higher frequency can significantly outperform the IMF forecasts if the publication of the Outlook is only a few months old.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/95949
    Series: IWH-Diskussionspapiere ; 2014,4
    Subjects: IMF WEO forecasts; leading indicators; real-time data
    Scope: Online-Ressource (PDF-Datei: IV, 27 S., 0,54 MB), graph. Darst.
  6. The KOF Economic Barometer, version 2014
    a composite leading indicator for the Swiss business cycle
    Published: 2014
    Publisher:  KOF, Zürich

    This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 297 (353)
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    This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line with this tradition, the calculation of the new KOF Barometer comprises two main stages. The first consists of the variable selection procedure; and in the second stage these variables are subsequently transformed into one leading indicator. Whereas in the previous versions of the KOF Barometer six to 25 variables survived the first stage, the new - less discretionary and more automated - version of the first stage is much more generous. Currently, out of a set of 476 variables resulting in 4356 transformations thereof that are tested in the first stage, 219 variables manage to enter the second stage. The increased number of variables underlying the second stage allows a relatively stable and robust KOF Barometer - compared to its previous versions - that has hence no longer to rely on filtering techniques to reduce the noise in the final indicator. In a (pseudo-) real-time analysis the characteristics of the new KOF Barometer are compared to the previous versions and other alternatives.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102962
    Series: KOF working papers / KOF Swiss Economic Institute, ETH Zurich ; 353
    Subjects: Business cycles; growth rate cycles; composite indicators; leading indicators; principal component analysis; real-time simulations
    Scope: Online-Ressource (51 S.), graph. Darst.
  7. 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)
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    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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    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.
  8. Explaining and forecasting bank loans
    good times and crisis
    Author: Levieuge, Grégory
    Published: August 2015
    Publisher:  Banque de France, Paris

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Nicht speichern
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / Banque de France ; no 566
    Subjects: Credit; Forecast; VECM; Threshold VAR; leading indicators
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen