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Unternehmens- versus Analystenbefragungen: Zum Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen

  • Hüfner, Felix P.
  • Schröder, Michael

In der vorliegenden Arbeit untersuchen wir die Eignung der ifo-Geschäftserwartungen und der ZEW-Konjunkturerwartungen als Frühindikatoren für die deutsche Industrieproduktion. Anhand von Granger-Kausalitätstests wird gezeigt, dass die auf Umfragen unter Finanzanalysten basierenden ZEW-Konjunkturerwartungen einen signifikanten einmonatigen Vorlauf vor den ifo-Geschäftserwartungen haben. Wir führen dies auf unterschiedliche Erwartungsbildungen der beiden Gruppen zurück. Die ZEW-Konjunkturerwartungen erlauben Prognosen der Industrieproduktion für 3 bis 12 Monate im voraus, die signifikant besser als eine naive Vergleichsprognose und eine Prognose mit den ifo-Erwartungen sind. Die Vorhersagen mit Hilfe der ifo-Geschäftserwartungen sind hingegen auf sehr kurze Sicht besser. Mit Hilfe von Encompassing-Tests wird gezeigt, dass für einen Horizont von drei bis sechs Monaten eine Kombination beider Indikatoren bessere Prognoseergebnisse liefert als die Verwendung der jeweiligen Indikatoren alleine. Eine Analyse der Richtungsprognosen zeigt, dass diese mit den beiden Erwartungsindikatoren erheblich besser möglich sind, als mit der naiven Prognose oder einer Zufallsprognose.

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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 01-04.

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Date of creation: 2001
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Handle: RePEc:zbw:zewdip:5359
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  7. Ulrich Fritsche, 1999. "Vorlaufeigenschaften von Ifo-Indikatoren für Westdeutschland," Discussion Papers of DIW Berlin 179, DIW Berlin, German Institute for Economic Research.
  8. Werner H. Strigel, 1997. "Seit 25 Jahren: das ifo Geschäftsklima als Konjunkturindikator," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 50(27), pages 3-4, October.
  9. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
  10. Norbert Funke, 1997. "Predicting recessions: Some evidence for Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(1), pages 90-102, March.
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