Arbeitspapier

With or without you: Do financial data help to forecast industrial production?

This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to forecast industrial production for Germany and the US. We focus on single-indicator models and various weighting schemes and evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models before and during the recent financial crisis. This paper shows that financial market indicators are useful for short-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was not foreseeable even if financial market indicators were taking into account. Furthermore, the reliability of pooled forecasts is higher than most of the forecasts obtained from single-indicator models.

ISBN
978-3-86788-639-0
Language
Englisch

Bibliographic citation
Series: Ruhr Economic Papers ; No. 558

Classification
Wirtschaft
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Subject
forecasting
financial market data
single-indicator model
pooling of forecasts

Event
Geistige Schöpfung
(who)
Kitlinski, Tobias
Event
Veröffentlichung
(who)
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
(where)
Essen
(when)
2015

DOI
doi:10.4419/86788639
Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Kitlinski, Tobias
  • Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)

Time of origin

  • 2015

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