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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. 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.
  2. Ulrich Fritsche & Sabine Stephan, 2002. "Leading Indicators of German Business Cycles - An Assessment of Properties," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 222(3), pages 289-315.
  3. Ulrich Fritsche, 1999. "Vorlaufeigenschaften von Ifo-Indikatoren für Westdeutschland," Discussion Papers of DIW Berlin 179, DIW Berlin, German Institute for Economic Research.
  4. Norbert Funke, 1997. "Predicting recessions: Some evidence for Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(1), pages 90-102, March.
  5. West, Kenneth D, 2001. "Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 29-33, January.
  6. 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.
  7. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
  8. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  9. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  10. 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.
  11. 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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Citations

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Cited by:
  1. 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.
  2. 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, March.

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