Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37430 
Year of Publication: 
2010
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Macroeconomic Modeling and Forecasting Performance No. D11-V1
Publisher: 
Verein für Socialpolitik, Frankfurt a. M.
Abstract: 
The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise as well as joint significant tests are used to evaluate single indicator as well as forecast combination methods. Moreover, we use an end-of-sample instability test to investigate the stability of forecasting models during the recent financial crisis. In general we find that only a small number of single indicator models perform well before the crisis. Pooling can substantially increase the reliability of leading indicator forecasts. In the crisis the relative performance of many leading indicator models increases. At short horizons survey indicators perform best and at longer horizons also financial indicators such as term spreads and risk spreads improve relative to the benchmark.
Subjects: 
Forecast Evaluation
Forecast Pooling
Structural Breaks
JEL: 
C53
C22
E37
Document Type: 
Conference Paper

Files in This Item:
File
Size





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