In Search of Leading Indicators of Economic Activity in Germany
28 Pages Posted: 23 Oct 2001
Date Written: October 2001
Abstract
In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions.
Keywords: Business Cycles, Leading Indicators, Turning Points, Markov Switching, Germany
JEL Classification: C32, C53
Suggested Citation: Suggested Citation
Bandholz, Harm and Funke, Michael, In Search of Leading Indicators of Economic Activity in Germany (October 2001). Available at SSRN: https://ssrn.com/abstract=287114 or http://dx.doi.org/10.2139/ssrn.287114
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