Verfahren der konjunkturellen Wendepunktbestimmung unter Berücksichtigung der Echtzeit-Problematik
AbstractForecasting business-cycle turning points under real-time conditions One of the greatest challenges in business cycle research is the timely and reliable identification of cyclical turning points.The data availability in real time constitutes a fundamental problem:First there is a publication lag of several months for some of the indicators concerning the real economy, and secondly those indicators are subject to substantial revisions even afterwards. The IMK undertook a systematic analysis of the business-cycle turning point detection problem in real time for Germany, applying and comparing four different econometric model classes. The employed methods recognize turning points two to four months ahead of official statistics in real time, for the evaluation sample of 2007 through 2010. A (nonlinear) dynamic probit model and a (linear) so-called subset VAR model seem to be especially well suited for this task. Based on our research results we conclude that it is advisable for the detection of turning points to combine many indicators.
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Bibliographic InfoPaper provided by IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute in its series IMK Studies with number 27-2012.
Length: 212 pages
Date of creation: 2012
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-15 (All new papers)
- NEP-FOR-2012-05-15 (Forecasting)
- NEP-GER-2012-05-15 (German Papers)
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