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Unternehmens- versus Analystenbefragungen: Zum Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen

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Author Info

  • Hüfner, Felix P.
  • Schröder, Michael

Abstract

In der vorliegenden Arbeit untersuchen wir die Eignung der ifo-Geschäftserwartungen und der ZEW-Konjunkturerwartungen als Frühindikatoren für die deutsche Industrieproduktion. Anhand von Granger-Kausalitätstests wird gezeigt, dass die auf Umfragen unter Finanzanalysten basierenden ZEW-Konjunkturerwartungen einen signifikanten einmonatigen Vorlauf vor den ifo-Geschäftserwartungen haben. Wir führen dies auf unterschiedliche Erwartungsbildungen der beiden Gruppen zurück. Die ZEW-Konjunkturerwartungen erlauben Prognosen der Industrieproduktion für 3 bis 12 Monate im voraus, die signifikant besser als eine naive Vergleichsprognose und eine Prognose mit den ifo-Erwartungen sind. Die Vorhersagen mit Hilfe der ifo-Geschäftserwartungen sind hingegen auf sehr kurze Sicht besser. Mit Hilfe von Encompassing-Tests wird gezeigt, dass für einen Horizont von drei bis sechs Monaten eine Kombination beider Indikatoren bessere Prognoseergebnisse liefert als die Verwendung der jeweiligen Indikatoren alleine. Eine Analyse der Richtungsprognosen zeigt, dass diese mit den beiden Erwartungsindikatoren erheblich besser möglich sind, als mit der naiven Prognose oder einer Zufallsprognose. --

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Bibliographic Info

Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 01-04.

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Date of creation: 2001
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Handle: RePEc:zbw:zewdip:5359

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Keywords: Konjunkturerwartungen; Prognosemodelle; Prognosevergleich; Frühindikatoren;

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References

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  1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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  6. Werner H. Strigel, 1997. "Seit 25 Jahren: das ifo Geschäftsklima als Konjunkturindikator," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 50(27), pages 3-4, October.
  7. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
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Cited by:
  1. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, Ifo Institute for Economic Research at the University of Munich, number 36.
  2. Georg Goldrian, 2001. "Aus Befragungsdaten zusammengesetzte Frühindikatoren - Adäquate Bauweise und prognostische Aussagekraft," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 54(22), pages 32-36, December.

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