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Title:What Determines the ZEW Indicator? PDF Logo
Authors:Hüfner, Felix P.
Lahl, David
Issue Date: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
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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