Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73746
Authors: 
Ziegler, Christina
Year of Publication: 
2009
Series/Report no.: 
Ifo Working Paper 69
Abstract: 
We analyze the predictive power of seven leading indicators for economic activity inthe Euro Area developed by different banks, institutions and research centers. Ourcomparison is conducted in a bivariate vector autoregressive framework. Indicators arecompared by means of an in-sample and an out-of-sample forecasting experiment.Predictive accuracy is compared by recently proposed tests for superior predictive ability.Our results suggest that nearly all indicators have good in-sample properties and that amajority of them is able to outperform a naive univariate autoregressive model out-of-sample.Additionally, we find that indicators perform better in boom periods than inrecessions. The OECD and FAZ indicators are both composite indicators and deliver themost accurate forecasts.
Subjects: 
Leading indicators
Euro area
forecasting
JEL: 
C32
C53
E32
Document Type: 
Working Paper

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