Arbeitspapier
The Financial Crisis from a Forecaster’s Perspective
This paper analyses the recession in 2008/2009 in Germany, which is very different from previous recessions, in particular regarding its cause and magnitude. We show to what extent forecasters and forecasts based on leading indicators fail to detect the timing and the magnitude of the recession. This study shows that large forecast errors for both expert forecasts and forecasts based on leading indicators resulted during this recession which implies that the recession was very difficult to forecast. However, some leading indicators (survey data, risk spreads, stock prices) have indicated an economic downturn and hence, beat univariate time series models. Although the combination of individual forecasts provides an improvement compared to the benchmark model, the combined forecasts are worse than several individual models. A comparison of expert forecasts with the best forecasts based on leading indicators shows only minor deviations. Overall, the range for an improvement of expert forecasts during the crisis compared to indicator forecasts is relatively small.
- Language
-
Englisch
- Bibliographic citation
-
Series: IWH Discussion Papers ; No. 5/2011
- Classification
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Subject
-
Leading indicators
recession
consensus forecast
non-linearities
Frühindikatoren
Rezession
Consensus Prognose
Nichtlinearitäten
- Event
-
Geistige Schöpfung
- (who)
-
Drechsel, Katja
Scheufele, Rolf
- Event
-
Veröffentlichung
- (who)
-
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
- (where)
-
Halle (Saale)
- (when)
-
2011
- Handle
- URN
-
urn:nbn:de:101:1-201103183395
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Drechsel, Katja
- Scheufele, Rolf
- Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Time of origin
- 2011
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