Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen: Ein ökonometrischer Vergleich
AbstractWe compare the forecasting ability of the ifo-business expectations and ZEW-business expectations for the German industrial production in detail. Both are qualitative monthly surveys. While the ifo indicator is based on surveys of enterprises, the ZEW polls financial analysts from banks, insurances and large industrial companies. Using Granger causality tests we find a significant one-month lead of the ZEW-expectations over the ifo-expectations. Furthermore we find that the use of ZEW-expectations allows for longer term forecasts of German industrial produc tion. For a forecast period of three to twelve months the ZEW-expectations significantly outperform a naive forecast (which is simply based upon its own lagged values) of German industrial production as well as the forecasts based on the ifo-expectations. The ifo-expectations provide slightly better forecasts for short term periods (one month). We suggest that this difference in forecast ability is due to the different participants of the surveys: the financial analysts from the ZEW survey might incorporate more macroeconomic factors when building their expectations, thereby allowing longer term forecasts than the enterprises that take part in the ifo survey. However, the latter are supposed to forecast the immediate future better than the analysts as they have a better knowledge of the present situation of their business. Finally, using encompassing tests we show that a combination of both indicators results in better medium-term forecasts (three to six months) of the German industrial production than using both indicators alone.
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Bibliographic InfoArticle provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.
Volume (Year): 222 (2002)
Issue (Month): 3 ()
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Konjunkturerwartungen; Prognosemodelle; Prognosevergleich; Frühindikatoren;
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- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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- Kai Carstensen & Steffen Henzel & Johannes Mayr & Klaus Wohlrabe, 2009. "IFOCAST: Methoden der ifo-Kurzfristprognose," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(23), pages 15-28, December.
- Sascha O. Becker & Klaus Wohlrabe, 2008. "European Data Watch: Micro Data at the Ifo Institute for Economic Research – The “Ifo Business Survey”, Usage and Access," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 128(2), pages 307-319.
- Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.
- Anna Stangl, 2007. "Der Index für Konjunkturerwartungen des ZEW und des ifo Instituts, WES, sind für Deutschland identisch," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 60(03), pages 55-56, 02.
- Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich.
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