Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23983
Authors: 
Hüfner, Felix P.
Lahl, David
Year of Publication: 
2003
Series/Report no.: 
ZEW Discussion Papers 03-48
Abstract: 
This paper analyzes which factors are driving the ZEW Indicator of Economic Sentiment. Using the results of a poll among survey participants as well as Granger causality tests we identify three groups of influence factors: other sentiment indicators, financial variables and real economy data. In a second step these factors are used to estimate out-of-sample forecasts for the ZEW Indicator. We find that a simple model that includes German manufacturing order data, the German yield structure and the US Consumer Confidence indicator as explanatory variables is able to outperform a naive univariate benchmark model as well as the consensus forecast for the ZEW Indicator as published by news agencies.
Subjects: 
leading indicators
Germany
zew
forecasting
JEL: 
E32
E37
Document Type: 
Working Paper

Files in This Item:
File
Size
306.62 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.