This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Do Probit Models Help in Forecasting Turning Points in German Business Cycles?

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ulrich Fritsche

Additional information is available for the following registered author(s):

Abstract

In diesem Artikel wird ein Datensatz benutzt, mit dem auch in einer begleitenden Untersuchung die Frühindikatoreigenschaften verschiedener Reihen für den deutschen Konjunkturzyklus getestet wurden. Um die Fähigkeit, Rezessionen zu prognostizieren, zu testen, wird der von Estrella/Mishkin vorgeschlagene Ansatz benutzt. Für die Einteilung der Konjunkturphasen wurde auf Artis et. al. (1997) zurückgegriffen. Der Einwand von Dueker (1997), dass es wichtig ist, zu kontrollieren, ob die Wirtschaft sich schon in einer Rezession befindet, wurde berücksichtigt. Die Resultate der Schätzung sind insgesamt unbefriedigend. Nur die Ifo-Geschäftserwartungen von Vorleistungsgüterproduzenten, die Zinsdifferenz, die langfristigen Zinsen sowie die Geldmenge M2 zeigen befriedigende Vorlaufeigenschaften.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.38533.de/dp241.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 241.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 14 p.
Date of creation: 2001
Date of revision:
Handle: RePEc:diw:diwwpp:dp241

Contact details of provider:
Postal: Mohrenstra�e 58, D-10117 Berlin
Phone: xx49-30-89789-0
Fax: xx49-30-89789-200
Email:
Web page: http://www.diw.de/en
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Bibliothek).

Related research
Keywords: business cycle; probit model; modified McFadden¿s R2; recession;

Other versions of this item:

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
L70 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - General

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Jörg Döpke, 1999. "Predicting Germany's Recessions with Leading Indicators — Evidence from Probit Models," Kiel Working Papers 944, Kiel Institute for the World Economy. [Downloadable!]
  2. Ulrich Fritsche & Sabine Stephan, 2000. "Leading Indicators of German Business Cycles: An Assessment of Properties," Macroeconomics 0004005, EconWPA. [Downloadable!]
    Other versions:
  3. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May. [Downloadable!] (restricted)
    Other versions:
  4. Bernard, Henri J & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," CEPR Discussion Papers 1892, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. Michael Dueker, 1997. "Strengthening the case for the yield curve as a predictor of U.S. recessions," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 41-51. [Downloadable!]
  6. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  7. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May. [Downloadable!] (restricted)
  8. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July. [Downloadable!] (restricted)
  9. Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise R, 1997. "Business Cycles for G7 and European Countries," Journal of Business, University of Chicago Press, vol. 70(2), pages 249-79, April. [Downloadable!] (restricted)
  10. Estrella, Arturo, 1998. "A New Measure of Fit for Equations with Dichotomous Dependent Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 198-205, April.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Klaus Abberger & Sascha Becker & Barbara Hofmann & Klaus Wohlrabe, 2007. "Mikrodaten im ifo Institut für Wirtschaftsforschung – Bestand, Verwendung und Zugang," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer, vol. 1(1), pages 27-42, June. [Downloadable!] (restricted)
  2. Joachim Benner & Carsten-Patrick Meier, 2003. "Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland," Kiel Working Papers 1139, Kiel Institute for the World Economy. [Downloadable!]
Statistics
Access and download statistics

Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.

This page was last updated on 2010-1-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.