Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46883
Authors: 
Döpke, Jörg
Year of Publication: 
1999
Series/Report no.: 
Kiel Working Paper 944
Abstract: 
Probit models are employed to evaluate leading indicators for Germany's recessions. The predictive power of leading indicators is found to be lower than assumed in previous studies. Although, monetary variables provide the best predictive power for recessions, survey data and order inflows show a lag rather than a lead to the recession time series. US interest rates have also some information content with respect to the German cycle. Constructing a model with a set of variables to predict recessions does not help to improve the forecasts. The out-of-sample performance of the indicators appeals to be even worse.
Subjects: 
Leading indicators
business cycles
probit models
JEL: 
E32
Document Type: 
Working Paper

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