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Short-term forecasting with business surveys: Evidence for German IHK data at federal state level

  • Wenzel, Lars
  • Wolf, André
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    We investigate the performance of the IHK business climate indices as forecasting tools within a growth framework at the level of four federal states in Northern Germany. In doing this, we match quarterly index scores with estimates of quarterly production data, generated through a Chow-Lin procedure. Estimating the model reveals strong linkages of the index scores to short-term output growth at the regional level, even after controlling for prior information on the position in the business cycle as well as for nation-wide fluctuations. Examining the forecasting accuracy of our model by means of out-of-sample predictions confirms these results: the model clearly outperforms an autoregressive benchmark. This can to a large part be traced back to information conveyed by the IHK index.

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    Paper provided by Hamburg Institute of International Economics (HWWI) in its series HWWI Research Papers with number 140.

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    Date of creation: 2013
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    Handle: RePEc:zbw:hwwirp:140
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    7. Stefan Arent & Michael Kloß & Robert Lehmann, 2011. "Konjunkturprognose Ostdeutschland und Sachsen 2011/2012: Inlandsnachfrage stützt den Aufschwung," ifo Dresden berichtet, Ifo Institute for Economic Research at the University of Munich, vol. 18(04), pages 12-21, 08.
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    9. Beate Schirwitz & Christian Seiler & Klaus Wohlrabe, 2009. "Regionale Konjunkturzyklen in Deutschland – Teil I: Die Datenlage," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(13), pages 18-24, 07.
    10. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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