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IFOCAST: Methoden der ifo-Kurzfristprognose

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  • Kai Carstensen
  • Steffen Henzel
  • Johannes Mayr
  • Klaus Wohlrabe

    ()

Abstract

Die Einschätzung und Vorhersage der gesamtwirtschaftlichen Situation im laufenden und im folgenden Quartal ist eine der zentralen Aufgaben der Konjunkturprognose. Das ifo Institut stützt sich bei seiner Kurzfristprognose des Bruttoinlandsprodukts auf den dreistufigen IFOCAST-Ansatz. In der ersten Stufe werden monatlich verfügbare Indikatoren, wie z.B. das ifo Geschäftsklima, extrapoliert und auf Quartalsebene aggregiert. Besonderes Augenmerk gilt dabei der Industrieproduktion, die mit Hilfe disaggregierter ifo-Umfragedaten fortgeschrieben wird. In einem zweiten Schritt wird die Bruttowertschöpfung der einzelnen Wirtschaftsbereiche mit Hilfe von Brückengleichungen prognostiziert. Im Rahmen eines Kombinationsansatzes wird eine Vielzahl von Modellen kombiniert, um dem Aspekt der Modellunsicherheit Rechnung zu tragen. In einem dritten Schritt werden die Quartalsprognosen einzelner Wirtschaftsbereiche anhand der ökonomischen Gewichte zur Prognose des Bruttoinlandsprodukts aggregiert. Es hat sich sowohl in der Prognoseliteratur als auch in der praktischen Umsetzung gezeigt, dass der gewählte Ansatz eine zuverlässige Kurzfristprognose liefert und flexibel genug ist, um auch extreme Entwicklungen gut aufzuzeigen. Zusätzlich zu diesem mehrstufigen Standardverfahren werden in diesem Artikel Mixed-Frequency-Modelle und Boosting-Algorithmen vorgestellt, welche den Standardansatz im Probebetrieb ergänzen.

Suggested Citation

  • Kai Carstensen & Steffen Henzel & Johannes Mayr & Klaus Wohlrabe, 2009. "IFOCAST: Methoden der ifo-Kurzfristprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(23), pages 15-28, December.
  • Handle: RePEc:ces:ifosdt:v:62:y:2009:i:23:p:15-28
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    Cited by:

    1. Henzel Steffen R. & Wohlrabe Klaus & Lehmann Robert, 2015. "Nowcasting Regional GDP: The Case of the Free State of Saxony," Review of Economics, De Gruyter, vol. 66(1), pages 71-98, April.
    2. Steffen Henzel & Sebastian Rast, 2013. "Prognoseeigenschaften von Indikatoren zur Vorhersage des Bruttoinlandsprodukts in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(17), pages 39-46, September.
    3. Steffen Henzel & Wolfgang Nierhaus & Tim Oliver Berg & Christian Breuer & Kai Carstensen & Christian Grimme & Oliver Hülsewig & Atanas Hristov & Nikolay Hristov & Michael Kleemann & Wolfgang Meister &, 2013. "ifo Konjunkturprognose 2013/2014: Deutsche Konjunkturlokomotive kommt unter Dampf," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(24), pages 20-67, December.
    4. Franziska Fobbe & Robert Lehmann, 2016. "Elektromotoren, Energieversorgung und Erziehung: Die Güte der entstehungsseitigen ifo-Kurzfristprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 69(12), pages 58-63, June.
    5. Doll, Jens & Rosenthal, Beatrice & Volkenand, Jonas & Hamella, Sandra, 2017. "Nowcasting des deutschen BIP," Weidener Diskussionspapiere 59, University of Applied Sciences Amberg-Weiden (OTH).
    6. Wolfgang Nierhaus, 2017. "Wirtschaftskonjunktur 2016: Prognose und Wirklichkeit," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 70(02), pages 72-78, January.
    7. Klaus Wohlrabe, 2011. "Konstruktion von Indikatoren zur Analyse der wirtschaftlichen Aktivität in den Dienstleistungsbereichen," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 55.
    8. Christian Seiler & Klaus Wohlrabe, 2013. "Das ifo Geschäftsklima und die deutsche Konjunktur," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(18), pages 17-21, October.
    9. Wolfgang Nierhaus, 2013. "Konjunkturprognosen heute – Möglichkeiten und Probleme," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(01), pages 25-32, January.
    10. Timo Wollmershäuser, 2015. "Evaluation der ifo Konjunkturprognosen – ein Vergleich mit den Prognosen von Consensus Economics," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(22), pages 26-28, November.
    11. Anna Billharz & Steffen Elstner & Marcus Jüppner, 2012. "Methoden der ifo Kurzfristprognose am Beispiel der Ausrüstungsinvestitionen," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(21), pages 24-33, November.
    12. Wolfgang Nierhaus, 2014. "Wirtschaftskonjunktur 2013: Prognose und Wirklichkeit," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 67(02), pages 41-46, January.
    13. Robert Lehmann & Andreas Sharik & Michael Weber, 2014. "Der Erklärungsgehalt der regionalen ifo-Indikatoren am Beispiel der Industrie- und Bauumsätze," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(04), pages 18-24, August.
    14. Timo Wollmershäuser & Wolfgang Nierhaus & Tim Oliver Berg & Christian Breuer & Johanna Garnitz & Christian Grimme & Atanas Hristov & Nikolay Hristov & Wolfgang Meister & Magnus Reif & Felix Schröter &, 2015. "ifo Konjunkturprognose 2015/2017: Verhaltener Aufschwung setzt sich fort," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(24), pages 23-66, December.
    15. repec:ces:ifosdt:v:70:y:2017:i:12:p:30-83 is not listed on IDEAS
    16. repec:ces:ifosdt:v:70:y:2017:i:24:p:28-81 is not listed on IDEAS
    17. Robert Lehmann & Wolfgang Nierhaus & Magnus Reif, 2016. "Eine Flash-Schätzung für die privaten Konsumausgaben in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 69(21), pages 36-41, November.
    18. Roland Döhrn & Tobias Kitlinski & Martin Micheli & Torsten Schmidt & Simeon Vosen & György Barabas & Heinz Gebhardt & Lina Zimmermann, 2010. "Die wirtschaftliche Entwicklung im Inland zur Jahresmitte 2010 - Aufschwung verliert an Fahrt," RWI Konjunkturbericht, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, pages 46, 09.
    19. Klaus Wohlrabe, 2012. "Prognose des Dienstleistungssektors in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(01), pages 31-39, January.
    20. Döhrn, Roland & Barabas, György & Gebhardt, Heinz & Kitlinski, Tobias & Micheli, Martin & Schmidt, Torsten & Vosen, Simeon & Zimmermann, Lina, 2010. "Die wirtschaftliche Entwicklung im Inland: Aufschwung verliert an Fahrt," RWI Konjunkturberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, vol. 61(2), pages 37-82.
    21. Timo Wollmershäuser & Wolfgang Nierhaus & Nikolay Hristov & Tim Oliver Berg & Christian Breuer & Johanna Garnitz & Christian Grimme & Atanas Hristov & Robert Lehmann & Wolfgang Meister & Magnus Reif &, 2016. "ifo Konjunkturprognose 2016/2017: Aufschwung in Deutschland geht in die zweite Halbzeit," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 69(12), pages 21-57, June.
    22. Steffen Henzel & Robert Lehmann & Klaus Wohlrabe, 2015. "Die Machbarkeit von Kurzfristprognosen für den Freistaat Sachsen," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 22(04), pages 21-25, August.

    More about this item

    Keywords

    Konjunkturprognose; Prognoseverfahren; Deutschland;

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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