Arbeitspapier

Do probit models help in forecasting turning points in German business cycles?

In this paper we used a data set constructed for a companion paper (Fritsche/Stephan, 2000) where we explored the leading indicator properties of different time series for the German business cycle. Now we test for the ability of different indicator series to forecast recessions by using a probit approach as proposed by Estrella/Mishkin (1997). The dating procedure refers to the study by Artis et. al. (1997). We took into consideration the criticism made by Dueker (1997) who stated that in the probit model the fact that the economy is already in a state of recession must be controlled for. The results of our estimate are unsatisfactory on the whole. Only the ifo institute's business expectation of producers of intermediate inputs, the interest rate spread, the long-term interest rate, and money supply M2 show satisfactory leading properties.

Sprache
Englisch

Erschienen in
Series: DIW Discussion Papers ; No. 241

Klassifikation
Wirtschaft
Thema
Konjunkturprognose
Prognoseverfahren
Konjunkturindikator
Probit-Modell
Schätzung
Deutschland

Ereignis
Geistige Schöpfung
(wer)
Fritsche, Ulrich
Ereignis
Veröffentlichung
(wer)
Deutsches Institut für Wirtschaftsforschung (DIW)
(wo)
Berlin
(wann)
2001

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Fritsche, Ulrich
  • Deutsches Institut für Wirtschaftsforschung (DIW)

Entstanden

  • 2001

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