Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287164 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Business Cycle Research [ISSN:] 2509-7970 [Volume:] 17 [Issue:] 3 [Publisher:] Springer International Publishing [Place:] Cham [Year:] 2021 [Pages:] 293-319
Publisher: 
Springer International Publishing, Cham
Abstract: 
Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty.
Subjects: 
Business cycle forecasting
Leading indicators
Wavelet analysis
Phase difference
JEL: 
C49
E32
E37
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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