In search of leading indicators of economic activity in Germany

被引：23

作者：

Bandholz, H ^{[1
]}

Funke, M ^{[1
]}

机构：

[1] Univ Hamburg, FB Wirtschaftswissensch, Dept Econ, D-20146 Hamburg, Germany

来源：

JOURNAL OF FORECASTING | 2003年 / 22卷 / 04期

关键词：

business cycles; leading indicators; turning points; Markov switching; Germany;

D O I：

10.1002/for.862

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. Copyright (C) 2003 John Wiley Sons, Ltd.

引用

页码：277 / 297

页数：21

共 36 条

[1] Measuring business cycles: Approximate band-pass filters for economic time series [J].