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Autoren: 
Donadelli, Michael
Paradiso, Antonio
Riedel, Max
Datum: 
2016
Schriftenreihe/Nr.: 
SAFE Working Paper No. 118 [rev.]
Zusammenfassung: 
We build a quasi real-time leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper gives rise to an ex-ante LI that is immune to "overlapping information drawbacks". In addition, the set of variables composing the LI relies on a two-steps dynamic and systematic procedure. This ensures that the choice of the variables is not driven by subjective views. Our LI anticipates swings (including the 2007-2008 crisis) in the EU industrial production - on average - by 2 to 3 months. If revised, its predictive power largely improves. Via a couple of standard empirical exercises we show that the proposed LI (i) forecasts crises' phases better than the ex-post LIs proposed by the OECD and the Conference Board and (ii) captures the interest rate policy pattern rather well.
Schlagwörter: 
Leading indicator
EU industrial production
Granger causality
Turning points
Forward-looking Taylor rule
JEL: 
E32
C22
C52
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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