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Ein multisektoraler Sammelindikator für die Schweizer Konjunktur

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  • Michael Graff

Abstract

Der multisektorale Sammelindikator für die Schweizer Gesamtkonjunktur weist gegenüber eine Reihe von methodischen Innovationen auf und berücksichtigt eine vergleichsweise grosse Anzahl von Indikatorreihen. Für den Stützbereich von 1991 bis 2002 erhalten wir auf Quartalsbasis einen stabilen Vorlauf von zwei Quartalen vor der Referenzreihe Vorjahreswachstumsrate des BIP, und auch die Niveaus der Wachstumsrate werden gut getroffen. Der neue Sammelindikator zeigt auch gute "out of sample" Prognoseeigenschaften, und zwar sowohl bezüglich des Vorlaufs als auch hinsichtlich der Niveaus der Referenzreihe.

Suggested Citation

  • Michael Graff, 2006. "Ein multisektoraler Sammelindikator für die Schweizer Konjunktur," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 529-577, December.
  • Handle: RePEc:ses:arsjes:2006-iv-4
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    References listed on IDEAS

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    1. Entorf, Horst, 1993. "Constructing leading indicators from non-balanced sectoral business survey series," International Journal of Forecasting, Elsevier, pages 211-225.
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    4. Forni, Mario, et al, 2001. "Coincident and Leading Indicators for the Euro Area," Economic Journal, Royal Economic Society, vol. 111(471), pages 62-85, May.
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    6. Christian Gayer, 2006. "Forecast Evaluation of European Commission Survey Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, pages 157-183.
    7. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, pages 293-335.
    8. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
    9. Richard Etter & Michael Graff, 2004. "Coincident and Leading Indicators of Manufacturing Industry," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, pages 109-131.
    10. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
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    Citations

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    Cited by:

    1. Boriss Siliverstovs, 2011. "The Real-Time Predictive Content of the KOF Economic Barometer," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 353-375, September.
    2. Boriss Siliverstovs, 2010. "Assessing Predictive Content of the KOF Barometer in Real Time," KOF Working papers 10-249, KOF Swiss Economic Institute, ETH Zurich.
    3. Michael Graff, 2008. "Ein Stimmungsindikator für das Schweizer Kreditgewerbe," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, pages 59-70.

    More about this item

    Keywords

    Sammelindikator; BIP-Prognose; Hauptkomponentenanalyse; Informationseffizienz;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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