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The performance of short-term forecasts of the German economy before and during the 2008/2009 recession

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Author Info

  • Drechsel, Katja
  • Scheufele, Rolf

Abstract

The paper analyzes the forecasting performance of leading indicators for industrial production in Germany. We focus on single and pooled leading indicator models both before and during the financial crisis. Pairwise and joint significant tests are used to evaluate single indicator models, as well as forecast combination methods. In addition, we investigate the stability of forecasting models during the most recent financial crisis. We find that only a small number of single indicator models were performing well before the crisis. Pooling can substantially increase the reliability of leading indicator forecasts. During the crisis, the relative performances of many leading indicator models (e.g. using surveys, term and risk spreads) improved.

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 28 (2012)
Issue (Month): 2 ()
Pages: 428-445

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Handle: RePEc:eee:intfor:v:28:y:2012:i:2:p:428-445

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Web page: http://www.elsevier.com/locate/ijforecast

Related research

Keywords: Macroeconomic forecasting; Evaluating forecasts; Combining forecasts; Structural change;

References

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Citations

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Cited by:
  1. Katja Drechsel & R. Scheufele, 2013. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," IWH Discussion Papers 7, Halle Institute for Economic Research.
  2. Lehmann, Robert & Wohlrabe, Klaus, 2013. "Sectoral gross value-added forecasts at the regional level: Is there any information gain?," MPRA Paper 46765, University Library of Munich, Germany.
  3. Anna Scharschmidt & Klaus Wohlrabe, 2011. "Sektorale Prognosen im Verarbeitenden Gewerbe," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 64(22), pages 27-35, November.
  4. Jens Boysen-Hogrefe, 2012. "A note on predicting recessions in the euro area using real M1," Economics Bulletin, AccessEcon, vol. 32(2), pages 1291-1301.
  5. Steffen Henzel & Sebastian Rast, 2013. "Prognoseeigenschaften von Indikatoren zur Vorhersage des Bruttoinlandsprodukts in Deutschland," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 66(17), pages 39-46, 09.
  6. Katja Rietzler & Sabine Stephan, 2012. "Monthly recession predictions in real time: A density forecast approach for German industrial production," IMK Working Paper 94-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  7. Christian Seiler & Klaus Wohlrabe, 2013. "Das ifo Geschäftsklima und die deutsche Konjunktur," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 66(18), pages 17-21, October.
  8. David Iselin & Boriss Siliverstovs, 2013. "Using Newspapers for Tracking the Business Cycle: A comparative study for Germany and Switzerland," KOF Working papers 13-337, KOF Swiss Economic Institute, ETH Zurich.

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