Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23983
Year of Publication: 
2003
Series/Report no.: 
ZEW Discussion Papers No. 03-48
Publisher: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
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

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