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Title:Do leading indicators help to predict business cycle turning points in Germany? PDF Logo
Authors:Fritsche, Ulrich
Kouzine, Vladimir
Issue Date:2002
Series/Report no.:DIW-Diskussionspapiere 314
Abstract:Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that the interest rate spread, the long-term interest rate as well as some monetary indicators and some survey indicators can help predicting turning points of the business cycle.
Subjects:Business cycle
leading indicators
probit model
McFadden's R2
Markov switching models
JEL:C22
E32
C25
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

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