New Composite Leading Indicators for Hungary and Poland

Arbeitspapier

This paper presents new composite leading indicators for the two largest of the EU accession countries, Poland and Hungary. Using linear and non-linear dynamic factor models we find for both countries that a parsimonious specification, which combines national business cycle indicators,series reflecting trade volumes and supranational business expectations makes for the most reliable business cycle leaders. The composite leading indicators significantly Granger-cause GDP growth rates, while the estimated Markov-switching probabilities of being in a recessionarystate agree well with a priori determined cycle chronologies.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ifo Working Paper ; No. 3

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Business Fluctuations; Cycles
• Subject: Business Cycles ; Composite Leading Indicators ; EU Enlargement ; Markovswitching ; Turning Points

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bandholz, Harm
• Event: Veröffentlichung
• (who): ifo Institute - Leibniz Institute for Economic Research at the University of Munich
• (where): Munich
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/73832
• Last update: 10.03.2025, 11:44 AM CET