Assessing Predictive Content of the KOF Barometer in Real Time

KOF Swiss Economic Institute Working Paper No. 249

27 Pages Posted: 25 Jan 2010

See all articles by Boriss Siliverstovs

Boriss Siliverstovs

German Institute for Economic Research (DIW Berlin) - Department of International Economics

Date Written: January 1, 2010

Abstract

We investigate whether the KOF Barometer–a leading indicator regularly released by the KOF Swiss Economic Institute–can be useful for short-term out-of-sample prediction of year-on-year quarterly real GDP growth rates in Switzerland. We find that the KOF Barometer appears to be useful for prediction of GDP growth rates. Even the earliest forecasts, made seven months ahead of the first official GDP estimate, allow us to predict GDP growth rates more accurately than forecasts based on an univariate autoregressive model. At every subsequent forecast round as new monthly releases of the KOF Barometermnbecome available we observe a steady increase in forecast accuracy.

Keywords: Leading indicators, forecasting, Bayesian model averaging, Switzerland

JEL Classification: C53, C22

Suggested Citation

Siliverstovs, Boriss, Assessing Predictive Content of the KOF Barometer in Real Time (January 1, 2010). KOF Swiss Economic Institute Working Paper No. 249, Available at SSRN: https://ssrn.com/abstract=1541959 or http://dx.doi.org/10.2139/ssrn.1541959

Boriss Siliverstovs (Contact Author)

German Institute for Economic Research (DIW Berlin) - Department of International Economics ( email )

Mohrenstraße 58
Berlin, 10117
Germany

HOME PAGE: http://www.diw.de/programme/jsp/MA.jsp?language=en&uid=bsiliverstovs

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