IDEAS home Printed from https://ideas.repec.org/a/wfo/monber/y2015i3p175-183.html
   My bibliography  Save this article

Bestimmung einer Konjunkturampel für Österreich auf Basis des WIFO-Konjunkturtests

Author

Listed:
  • Christian Glocker

    (WIFO)

  • Werner Hölzl

Abstract

Der WIFO-Konjunkturtest ist ein wichtiges System von Frühindikatoren für die österreichische Konjunktur. Mit einem Markov-Regime-Switching-Modell kann der Konjunkturverlauf anhand dieser Indikatoren frühzeitig in Auf- und Abschwungregime klassifiziert werden. Die Regimewahrscheinlichkeiten können in Form einer Konjunkturampel dargestellt werden und bieten zusätzliche Information zur Interpretation der Konjunkturtestergebnisse.

Suggested Citation

  • Christian Glocker & Werner Hölzl, 2015. "Bestimmung einer Konjunkturampel für Österreich auf Basis des WIFO-Konjunkturtests," WIFO Monatsberichte (monthly reports), WIFO, vol. 88(3), pages 175-183, March.
    • Handle: RePEc:wfo:monber:y:2015:i:3:p:175-183
    Note: With English abstract.
    as

    Download full text from publisher

    File URL: https://www.wifo.ac.at/wwa/pubid/57854
    File Function: abstract
    Download Restriction: Payment required
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Christian Glocker & Serguei Kaniovski, 2014. "A financial market stress indicator for Austria," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(3), pages 481-504, August.
    2. Davig, Troy, 2004. "Regime-switching debt and taxation," Journal of Monetary Economics, Elsevier, vol. 51(4), pages 837-859, May.
    3. Jing Zhang & Robert A. Stine, 2001. "Autocovariance Structure of Markov Regime Switching Models and Model Selection," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 107-124, January.
    4. Werner Hölzl & Gerhard Schwarz, 2014. "Der WIFO-Konjunkturtest: Methodik und Prognoseeigenschaften," WIFO Monatsberichte (monthly reports), WIFO, vol. 87(12), pages 835-850, December.
    5. James D. Hamilton, 2005. "What's real about the business cycle?," Review, Federal Reserve Bank of St. Louis, vol. 87(Jul), pages 435-452.
    6. 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 357-384, March.
    7. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
    8. Klaus Abberger & Wolfgang Nierhaus, 2008. "Markov Switching and the Ifo Business Climate," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(10), pages 25-30, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Werner Hölzl & Julia Bachtrögler-Unger & Jürgen Bierbaumer & Agnes Kügler, 2022. "Vierte COVID-19-Welle dämpft Konjunktureinschätzungen. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Jänner 2022," WIFO Monatsberichte (monthly reports), WIFO, vol. 95(2), pages 83-93, February.
    2. Werner Hölzl & Michael Klien & Agnes Kügler, 2021. "Konjunktureinschätzungen verbessern sich weiter, Lieferengpässe und Arbeitskräftemangel hemmen die Produktion. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Juli 2021," WIFO Monatsberichte (monthly reports), WIFO, vol. 94(8), pages 587-595, August.
    3. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2022. "Konjunktureinschätzungen verbessern sich trotz erhöhter Unsicherheit. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom April 2022," WIFO Monatsberichte (monthly reports), WIFO, vol. 95(5), pages 301-311, May.
    4. Werner Hölzl & Michael Klien & Agnes Kügler, 2020. "Konjunktureinschätzung stürzt infolge der COVID-19-Pandemie ab. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom April 2020," WIFO Monatsberichte (monthly reports), WIFO, vol. 93(5), pages 337-345, May.
    5. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2024. "Business Cycle Sentiment Subdued at Start of the Year. Results of the WIFO-Konjunkturtest Quarterly Survey of January 2024," WIFO Reports on Austria, WIFO, issue 3, February.
    6. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2023. "Heterogene Entwicklung der Konjunkturbeurteilungen. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom April 2023," WIFO Monatsberichte (monthly reports), WIFO, vol. 96(5), pages 307-317, May.
    7. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2022. "Abschwung setzt sich fort. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Oktober 2022," WIFO Monatsberichte (monthly reports), WIFO, vol. 95(11), pages 721-731, November.
    8. Werner Hölzl & Michael Klien & Agnes Kügler, 2021. "Zweite COVID-19-Welle bestimmt Konjunkturbeurteilung der Unternehmen. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Jänner 2021," WIFO Monatsberichte (monthly reports), WIFO, vol. 94(2), pages 105-114, February.
    9. Werner Hölzl & Michael Klien & Agnes Kügler, 2021. "Economic Sentiment Continues to Brighten, Supply Bottlenecks and Labour Shortages Hamper Production. Results of the WIFO-Konjunkturtest Quarterly Survey of July 2021," WIFO Reports on Austria, WIFO, issue 10, August.
    10. Werner Hölzl & Julia Bachtrögler-Unger & Jürgen Bierbaumer & Agnes Kügler, 2022. "Fourth COVID-19 Wave Dampens Economic Sentiment. Results of the WIFO-Konjunkturtest Quarterly Survey of January 2022," WIFO Reports on Austria, WIFO, issue 4, February.
    11. Werner Hölzl & Michael Klien & Agnes Kügler, 2021. "Economic Assessments of Austrian Companies in the Second Wave of the COVID-19 Pandemic. Results of the WIFO-Konjunkturtest Quarterly Survey of January 2021," WIFO Reports on Austria, WIFO, issue 4, February.
    12. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2023. "Heterogeneous Development of Economic Assessments. Results of the WIFO-Konjunkturtest Quarterly Survey of April 2023," WIFO Reports on Austria, WIFO, issue 9, June.
    13. Werner Hölzl & Michael Klien & Agnes Kügler, 2020. "Konjunktureinschätzung bleibt über Sektoren hinweg uneinheitlich. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Jänner 2020," WIFO Monatsberichte (monthly reports), WIFO, vol. 93(2), pages 89-99, February.
    14. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2023. "Slight Improvement in Economic Sentiment at the Beginning of the Year. Results of the WIFO-Konjunkturtest Quarterly Survey of January 2023," WIFO Reports on Austria, WIFO, issue 3, February.
    15. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2022. "Economic Expectations Weaken. Results of the WIFO-Konjunkturtest Quarterly Survey of July 2022," WIFO Reports on Austria, WIFO, issue 11, August.
    16. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2021. "Labour Shortages and Supply Bottlenecks Hamper Business Activity. Results of the WIFO-Konjunkturtest Quarterly Survey of October 2021," WIFO Reports on Austria, WIFO, issue 14, November.
    17. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2022. "Konjunkturerwartungen verschlechtern sich. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Juli 2022," WIFO Monatsberichte (monthly reports), WIFO, vol. 95(8), pages 505-515, August.
    18. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2023. "Konjunkturabschwung hält an. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Oktober 2023," WIFO Monatsberichte (monthly reports), WIFO, vol. 96(11), pages 753-763, November.
    19. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2021. "Geschäftstätigkeit durch Arbeitskräftemangel und Lieferengpässe beeinträchtigt. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Oktober 2021," WIFO Monatsberichte (monthly reports), WIFO, vol. 94(11), pages 793-802, November.
    20. Werner Hölzl & Michael Klien & Agnes Kügler, 2019. "Konjunktur schwächt sich weiter ab. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Oktober 2019," WIFO Monatsberichte (monthly reports), WIFO, vol. 92(11), pages 807-819, November.
    21. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2023. "Economic Downturn Continues. Results of the WIFO-Konjunkturtest Quarterly Survey of October 2023," WIFO Reports on Austria, WIFO, issue 18, December.
    22. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2023. "Leichte Verbesserung der Konjunktureinschätzungen zu Jahresbeginn. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom Jänner 2023," WIFO Monatsberichte (monthly reports), WIFO, vol. 96(2), pages 87-97, February.
    23. Werner Hölzl & Jürgen Bierbaumer & Michael Klien & Agnes Kügler, 2022. "Downturn Continues. Results of the WIFO-Konjunkturtest Quarterly Survey of October 2022," WIFO Reports on Austria, WIFO, issue 17, November.
    24. Werner Hölzl & Michael Klien & Agnes Kügler, 2021. "Konjunktureinschätzungen verbessern sich, Lieferengpässe hemmen die Produktion. Ergebnisse der Quartalsbefragung des WIFO-Konjunkturtests vom April 2021," WIFO Monatsberichte (monthly reports), WIFO, vol. 94(5), pages 361-370, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hamilton, J.D., 2016. "Macroeconomic Regimes and Regime Shifts," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 163-201, Elsevier.
    2. Josh Stillwagon & Peter Sullivan, 2020. "Markov switching in exchange rate models: will more regimes help?," Empirical Economics, Springer, vol. 59(1), pages 413-436, July.
    3. Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
    4. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2012. "How does fiscal policy react to wealth composition and asset prices?," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 874-890.
    5. Cavicchioli, Maddalena, 2013. "Spectral density of Markov-switching VARMA models," Economics Letters, Elsevier, vol. 121(2), pages 218-220.
    6. Francq, Christian & ZakoI¨an, Jean-Michel, 2005. "The L2-structures of standard and switching-regime GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1557-1582, September.
    7. Cavicchioli, Maddalena, 2023. "Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
    8. Luca Agnello & Gilles Dufrénot & Ricardo M. Sousa, 2012. "Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework," NIPE Working Papers 20/2012, NIPE - Universidade do Minho.
    9. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
    10. Beatrice PATARACCHIA, 2008. "Design-Limits in Regime-Switching cases," EcoMod2008 23800104, EcoMod.
    11. Jeremy J. Nalewaik, 2011. "Forecasting recessions using stall speeds," Finance and Economics Discussion Series 2011-24, Board of Governors of the Federal Reserve System (U.S.).
    12. Maddalena Cavicchioli, 2016. "Weak VARMA representations of regime-switching state-space models," Statistical Papers, Springer, vol. 57(3), pages 705-720, September.
    13. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    14. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
    15. Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst, 2014. "Forecasting market turbulence using regime-switching models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 139-164, May.
    16. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
    17. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.
    18. Pardo, S. & Rautureau, N. & Vallée, T., 2011. "Optimal versus realized policy rules in a regime-switching framework," Economic Modelling, Elsevier, vol. 28(6), pages 2761-2775.
    19. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
    20. McKay, Alisdair & Reis, Ricardo, 2008. "The brevity and violence of contractions and expansions," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 738-751, May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wfo:monber:y:2015:i:3:p:175-183. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Florian Mayr (email available below). General contact details of provider: https://edirc.repec.org/data/wifooat.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.