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Prediction of Business Cycle Turning Points in Germany / Prognose konjunktureller Wendepunkte in Deutschland

  • Fritsche Ulrich


    (DIW Berlin (German Institute for Economic Research), Königin-Luise-Str. 5, D-14195 Berlin. Tel.: ++49/+30/89789315, Germany)

  • Kuzin Vladimir


    (Goethe-Universität Frankfurt am Main, Institut für Statistik und Methoden der Ökonometrie, Gräfstr. 78, D-60054 Frankfurt a.M. Tel.: ++49/+69/798 25332, Fax: ++49/+69/79823662, Germany)

Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that the interest rate spread, the real effective exchange rate as well as some monetary indicators and some survey indicators can help to predict turning points of the German business cycle. The models were estimated for the in-sample period 1978 to 1997 and the reliability of the results was tested out of that sample (1998 to 2002).

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Article provided by De Gruyter in its journal Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).

Volume (Year): 225 (2005)
Issue (Month): 1 (February)
Pages: 22-43

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Handle: RePEc:jns:jbstat:v:225:y:2005:i:1:p:22-43
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  1. Döpke, Jörg & Langfeldt, Enno, 1995. "Zur Qualität von Konjunkturprognosen für Westdeutschland 1976 - 1994," Kiel Discussion Papers 247, Kiel Institute for the World Economy (IfW).
  2. Fritsche Ulrich & Stephan Sabine, 2002. "Leading Indicators of German Business Cycles. An Assessment of Properties / Frühindikatoren der deutschen Konjunktur. Eine Beurteilung ihrer Eigenschaften," 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, June.
  3. 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.
  4. Arturo Estrella, 1997. "A new measure of fit for equations with dichotomous dependent variables," Research Paper 9716, Federal Reserve Bank of New York.
  5. 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.
  6. 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.
  7. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, June.
  8. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  9. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
  10. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  11. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
  12. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
  13. Michael J. 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.
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