Leading indicators in a globalised world

Arbeitspapier

Using OECD composite leading indicators (CLI), we assess empirically whether the ability of the country- specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons of four to eight months ahead. The evidence is particularly strong when taking cointegration relationships into account. At the same time, we find indications that the forecast accuracy has declined over time for several countries. Augmenting the country-specific CLI with a leading indicator of the external environment and employing forecast combination techniques improves the forecast performance for several economies. Over time, the increasing importance of international dependencies is documented by relative performance gains of the extended model for selected countries.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1125

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Business Fluctuations; Cycles ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
• Subject: business cycle ; forecast comparison ; Globalisation ; Leading Indicator ; Structural change ; Wirtschaftsindikator ; Prognoseverfahren ; Globalisierung ; Industrieproduktion ; OECD-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fichtner, Ferdinand ; Rüffer, Rasmus ; Schnatz, Bernd
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/153559
• Last update: 10.03.2025, 11:42 AM CET