Abstract

http://ssrn.com/abstract=1516168
 
 

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Leading Indicators in a Globalised World


Ferdinand Fichtner


European Central Bank (ECB) - Directorate General Economics

Rasmus Rueffer


European Central Bank (ECB)

Bernd Schnatz


European Central Bank (ECB)

December 9, 2009

ECB Working Paper No. 1125

Abstract:     
Using OECD composite leading indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons of four to eight months ahead. The evidence is particularly strong when taking cointegration relationships into account. At the same time, we find indications that the forecast accuracy has declined over time for several countries. Augmenting the country-specific CLI with a leading indicator of the external environment and employing forecast combination techniques improves the forecast performance for several economies. Over time, the increasing importance of international dependencies is documented by relative performance gains of the extended model for selected countries.

Number of Pages in PDF File: 26

Keywords: Leading Indicator, Business Cycle, Forecast Comparison, Globalisation, Structural Change

JEL Classification: C53, E32, E37, F47

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Date posted: December 13, 2009  

Suggested Citation

Fichtner, Ferdinand and Rueffer, Rasmus and Schnatz, Bernd, Leading Indicators in a Globalised World (December 9, 2009). ECB Working Paper No. 1125. Available at SSRN: http://ssrn.com/abstract=1516168

Contact Information

Ferdinand Fichtner (Contact Author)
European Central Bank (ECB) - Directorate General Economics ( email )
Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany
Rasmus Rueffer
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
+49 69 1344 7087 (Phone)
+49 69 1344 6353 (Fax)
Bernd Schnatz
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
069-1344-6517 (Phone)
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