Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18050
Authors: 
Fritsche, Ulrich
Kouzine, Vladimir
Year of Publication: 
2002
Series/Report no.: 
DIW Discussion Papers 314
Abstract: 
Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that the interest rate spread, the long-term interest rate as well as some monetary indicators and some survey indicators can help predicting turning points of the business cycle.
Subjects: 
Business cycle
leading indicators
probit model
McFadden's R2
Markov switching models
JEL: 
C22
E32
C25
Document Type: 
Working Paper

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