Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/173720 
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. [2016-05]
Publisher: 
National Bank of the Republic of Macedonia, Skopje
Abstract: 
This paper aims to assess the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the ESI within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic conditions. We further proceed by analyzing how well an extended set of indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results show that the use of survey-based indicators as a complement to macroeconomic data work satisfactory well in capturing the business cycle developments in Macedonia.
Subjects: 
Forecasting
Business cycle turning points
Qual VAR
MCMC
Latent variable
JEL: 
F42
C25
C22
Document Type: 
Working Paper

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