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Vorlaufeigenschaften von Ifo-Indikatoren für Westdeutschland

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  • Ulrich Fritsche

Abstract

Ifo business climate and other Ifo indicators will be investigated to assess its properties. Properties of Ifo indicators either following the old institutional classification or the newer possibility of use classification will be checked against long-term time series according the new statistical classification (NACE or WZ 93). The business cycle component is detrended using an Hodrick Prescott filter. The series are tested for structural stability. The results show structural breaks, but, after the break, the stability of leading properties became stronger. Long-term indicators have no worse stability properties than short-term indicators - that means their use for forecasting is possible. Ifo-Indikatoren werden auf ihre Vorlaufeigenschaften, auf Granger-Kausalität, die Stabilität der Vorlaufbeziehung und einen Strukturbruch untersucht. Da die Ifo-Reihen noch nicht auf die neue Gliederung der amtlichen Statistik (WZ 93) umgestellt wurden, wird erstmals die Eignung der verschiedenen Indikatoren nach institutioneller und Verwendungszweckgliederung gemessen an den umbasierten Produktionsindexreihen nach WZ 93 beurteilt. Ebenfalls neu ist, daß zur Beurteilung der Konjunkturkomponente eine normierte Trendabweichung von einem Hodrick-Prescott-Filter benutzt wurde. Die These der Strukturkonstanz ist zurückzuweisen; die Stabilität der Vorlaufbeziehung in den 90er Jahren ist enger geworden. Die Indikatoren mit längerem Vorlauf (Geschäftserwartungen und Produktionspläne) weisen keine nachweisbar geringere Stabilität auf.

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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 179.

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Length: 30 p.
Date of creation: 1999
Date of revision:
Handle: RePEc:diw:diwwpp:dp179

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  1. Neftici, Salih N., 1982. "Optimal prediction of cyclical downturns," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 225-241, November.
  2. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  4. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-38, May.
  5. Bernd Görzig & Joachim Schintke, 1998. "Lange Zeitreihen der Investitionstätigkeit in den Sektoren des verarbeitenden Gewerbes," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 67(3), pages 165-188.
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Cited by:
  1. Hüfner, Felix P. & Schröder, Michael, 2001. "Unternehmens- versus Analystenbefragungen: Zum Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen," ZEW Discussion Papers 01-04, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  2. Joachim Benner & Carsten-Patrick Meier, 2004. "Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(6), pages 639-652, November.
  3. Klaus Abberger & Sascha O. Becker & Barbara Hofmann & Klaus Wohlrabe, 2007. "Mikrodaten im ifo Institut für Wirtschaftsforschung: Bestand, Verwendung, Zugang," Ifo Working Paper Series Ifo Working Paper No. 44, Ifo Institute for Economic Research at the University of Munich.
  4. Christian Seiler, 2009. "Prediction Qualities of the Ifo Indicators on a Temporal Disaggregated German GDP," Ifo Working Paper Series Ifo Working Paper No. 67, Ifo Institute for Economic Research at the University of Munich.
  5. Hinze, Jörg, 2003. "Prognoseleistung von Frühindikatoren : Die Bedeutung von Frühindikatoren für Konjunkturprognosen - Eine Analyse für Deutschland," HWWA Discussion Papers 236, Hamburg Institute of International Economics (HWWA).
  6. Richard Etter & Michael Graff, 2003. "Estimating and Forecasting Production and Orders in Manufacturing Industry from Business Survey Data: Evidence from Switzerland, 1990-2003," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(IV), pages 507-533, December.
  7. Joachim Benner & Carsten-Patrick Meier, 2003. "Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland," Kiel Working Papers 1139, Kiel Institute for the World Economy.
  8. Hüfner, Felix P. & Lahl, David, 2003. "What Determines the ZEW Indicator?," ZEW Discussion Papers 03-48, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  9. Schröder, Michael & Hüfner, Felix P., 2002. "Forecasting economic activity in Germany: how useful are sentiment indicators?," ZEW Discussion Papers 02-56, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  10. 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.
  11. Benner, Joachim & Meier, Carsten-Patrick, 2005. "Was leisten Stimmungsindikatoren für die Prognose des realen Bruttoinlandsprodukts in Deutschland? : Eine Echtzeit-Analyse," Open Access Publications from Kiel Institute for the World Economy 3725, Kiel Institute for the World Economy (IfW).
  12. Sascha O. Becker & Klaus Wohlrabe, 2007. "Micro Data at the Ifo Institute for Economic Research – The “Ifo Business Survey”, Usage and Access," Ifo Working Paper Series Ifo Working Paper No. 47, Ifo Institute for Economic Research at the University of Munich.

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