Template-Type: ReDIF-Paper 1.0
Author-Name: Yunus Yilmaz
Author-Name-First: Yunus
Author-Name-Last: Yilmaz
Author-Workplace-Name: Ruhr-Universität Bochum, faculty of management and economics
Author-Name: Knut Lehre Seip
Author-Name-First: Knut Lehre
Author-Name-Last: Seip
Author-Workplace-Name: Oslo and Akershus University College for Applied Sciences
Author-Name: Michael Schröder
Author-Name-First: Michael
Author-Name-Last: Schröder
Author-Workplace-Name: Centre for European Economic Research (ZEW)
Title: Comparing sentiment and behavioral based leading indexes for industrial production in Germany: A novel running local test
Abstract: We use a novel method to compare two survey based leading indexes and two behavioral based index to industrial production, IP, Germany 1991-2015 . The sentiment based ifo – index (managers) performs best in predicting the general changes in IP (-0.596, -1.0 being best). The ZEW – index (financial experts) is close (-0.583), and is better in predicting 6 recessions and 5 recoveries. On a third place comes, somewhat unexpectedly, the unemployment index (-0.564) and lastly comes order flow, OF (-0.186). The four indexes all scored low during time windows around 1997 and 2005. Both periods correspond to anomalous episodes in German economy.
Classification-JEL: O17, C63, E52, H26
Creation-Date: 2017
File-URL: http://hdl.handle.net/20.500.12199/1335
File-Format: text/html
Keywords: Leading indexes, industrial production, prediction skill, survey based indexes, Germany
Handle: RePEc:oml:wpaper:201707