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Leading indicators for Euroland's business cycle

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  • Döpke, Jörg

Abstract

The paper investigates a set of possible leading indicators for Euroland's business cycle using aggregated quarterly data. The theoretical plausibility, the behavior at business cycle turning points and the mean leads are analyzed. Furthermore, evidence from cross-correlations and Granger-causality tests is presented. Taking all evidence together, real monetary aggregates, nominal interest rates and the interest rate spread are recommended as leading indicators, whereas survey data on order inflow and production expectations are the best coincident indicators.

Suggested Citation

  • Döpke, Jörg, 1998. "Leading indicators for Euroland's business cycle," Kiel Working Papers 886, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwkwp:886
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    References listed on IDEAS

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    1. Norbert Funke, 1997. "Predicting recessions: Some evidence for Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 90-102, March.
    2. Victor Zarnowitz, 1992. "Business Cycles: Theory, History, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number zarn92-1, March.
    3. Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-714, Nov.-Dec..
    4. Hendry, David F, 1997. "The Econometrics of Macroeconomic Forecasting," Economic Journal, Royal Economic Society, vol. 107(444), pages 1330-1357, September.
    5. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," The Journal of Business, University of Chicago Press, vol. 62(3), pages 369-391, July.
    6. Teresa Santero & Niels Westerlund, 1996. "Confidence Indicators and Their Relationship to Changes in Economic Activity," OECD Economics Department Working Papers 170, OECD Publishing.
    7. Apostolos Serletis & David Krause, 2006. "Nominal Stylized Facts of U.S. Business Cycles," World Scientific Book Chapters, in: Money And The Economy, chapter 2, pages 47-56, World Scientific Publishing Co. Pte. Ltd..
    8. repec:sae:niesru:v:156:y::i:1:p:63-71 is not listed on IDEAS
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    Cited by:

    1. Ulrich Fritsche & Sabine Stephan, 2000. "Leading Indicators of German Business Cycles: An Assessment of Properties," Macroeconomics 0004005, University Library of Munich, Germany.
    2. Ulrich Fritsche & Felix Marklein, 2001. "Leading Indicators of Euroland Business Cycles," Discussion Papers of DIW Berlin 238, DIW Berlin, German Institute for Economic Research.
    3. Fritsche Ulrich & Stephan Sabine, 2002. "Leading Indicators of German Business Cycles. An Assessment of Properties / Frühindikatoren der deutschen Konjunktur. Eine Beurteilung ihrer Eigenschaften," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(3), pages 289-315, June.

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    More about this item

    Keywords

    Business Cycle; Leading Indicator; European Monetary Union;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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