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Vorlaufeigenschaften von Ifo-Indikatoren für Westdeutschland

  • Ulrich Fritsche

Ifo business climate and other Ifo indicators will be investigated to assess its properties. Properties of Ifo indicators either following the old institutional classification or the newer possibility of use classification will be checked against long-term time series according the new statistical classification (NACE or WZ 93). The business cycle component is detrended using an Hodrick Prescott filter. The series are tested for structural stability. The results show structural breaks, but, after the break, the stability of leading properties became stronger. Long-term indicators have no worse stability properties than short-term indicators - that means their use for forecasting is possible. Ifo-Indikatoren werden auf ihre Vorlaufeigenschaften, auf Granger-Kausalität, die Stabilität der Vorlaufbeziehung und einen Strukturbruch untersucht. Da die Ifo-Reihen noch nicht auf die neue Gliederung der amtlichen Statistik (WZ 93) umgestellt wurden, wird erstmals die Eignung der verschiedenen Indikatoren nach institutioneller und Verwendungszweckgliederung gemessen an den umbasierten Produktionsindexreihen nach WZ 93 beurteilt. Ebenfalls neu ist, daß zur Beurteilung der Konjunkturkomponente eine normierte Trendabweichung von einem Hodrick-Prescott-Filter benutzt wurde. Die These der Strukturkonstanz ist zurückzuweisen; die Stabilität der Vorlaufbeziehung in den 90er Jahren ist enger geworden. Die Indikatoren mit längerem Vorlauf (Geschäftserwartungen und Produktionspläne) weisen keine nachweisbar geringere Stabilität auf.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.38638.de/dp179.pdf
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Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 179.

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Length: 30 p.
Date of creation: 1999
Date of revision:
Handle: RePEc:diw:diwwpp:dp179
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  1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  2. 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.
  3. Bernd Görzig & Joachim Schintke, 1998. "Lange Zeitreihen der Investitionstätigkeit in den Sektoren des verarbeitenden Gewerbes," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 67(3), pages 165-188.
  4. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-38, May.
  5. Neftici, Salih N., 1982. "Optimal prediction of cyclical downturns," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 225-241, November.
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