IDEAS home Printed from https://ideas.repec.org/a/oec/stdkab/5kgg5k4zb49w.html
   My bibliography  Save this article

The Forecasting Performance of Composite Leading Indicators: Does Globalisation Matter?

Author

Listed:
  • Ferdinand Fichtner
  • Rasmus Rüffer
  • Bernd Schnatz

Abstract

Using OECD Composite Leading Indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons of four to eight months ahead. The evidence is particularly strong when taking cointegration relationships into account. At the same time, we find indications that the forecast accuracy has declined over time for several countries. Augmenting the country-specific CLI with a leading indicator of the external environment and employing forecast combination techniques improves the forecast performance for several economies. Over time, the increasing importance of international dependencies is documented by relative performance gains of the extended model for selected countries.

Suggested Citation

  • Ferdinand Fichtner & Rasmus Rüffer & Bernd Schnatz, 2011. "The Forecasting Performance of Composite Leading Indicators: Does Globalisation Matter?," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2011(1), pages 55-72.
    • Handle: RePEc:oec:stdkab:5kgg5k4zb49w
    DOI: 10.1787/jbcma-2011-5kgg5k4zb49w
    as

    Download full text from publisher

    File URL: https://doi.org/10.1787/jbcma-2011-5kgg5k4zb49w
    Download Restriction: Full text available to READ online. PDF download available to OECD iLibrary subscribers.
    File URL: https://libkey.io/10.1787/jbcma-2011-5kgg5k4zb49w?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Garnitz, Johanna & Lehmann, Robert & Wohlrabe, Klaus, 2019. "Forecasting GDP all over the world using leading indicators based on comprehensive survey data," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 51(54), pages 5802-5816.
    2. Junyi Shi, 2020. "Re-Measurement Of Short-Term International Capital Flows And Its Application: Evidence From China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(06), pages 1645-1665, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oec:stdkab:5kgg5k4zb49w. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/oecddfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.