Leading Indicators of Euroland Business Cycles
The introduction of a common monetary policy in eleven European countries increased the need for leading indicators for that area. A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time. (3) The inclusion of the indicator in out-of-sample forecasting procedures should improve the predictive power. Our analysis deals with tests for these requirements applied to Euroland data. We use frequency domain analysis, Granger-causality tests and out-of sample forecasts. Only a few indicators pass all tests, while the non-monetary indicators perform best.
|Date of creation:||28 Feb 2001|
|Note:||Type of Document - PDF; prepared on IBM PC; pages: 33 ; figures: included. We would like to reduce our mailing and xerox cost by posting it.|
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References listed on IDEAS
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