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Predicting Germany's Recessions with Leading Indicators ; Evidence from Probit Models

  • Jörg Döpke
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    Probit models are employed to evaluate leading indicators for Germany's recessions. The predictive power of leading indicators is found to be lower than assumed in previous studies. Although, monetary variables provide the best predictive power for recessions, survey data and order inflows show a lag rather than a lead to the recession time series. US interest rates have also some information content with respect to the German cycle. Constructing a multivariate model with a set of variables to predict recessions does not help to improve the forecasts. The out-of-sample performance of the indicators appears to be even worse.

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    File URL: https://www.ifw-kiel.de/pub/kap?selectedYear=1999
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    Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 944.

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    Length: 20 pages
    Date of creation: Sep 1999
    Date of revision:
    Handle: RePEc:kie:kieliw:944
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