Forecasting Macedonian Business Cycle Turning Points Using Qual Var Model

Artikel

This paper aims at assessing the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the economic sentiment indicator (ESI) within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic conditions. We further proceed analyzing how well an extended set of indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results show that the use of survey-based indicators as a complement to macroeconomic data work satisfactory well in capturing the business cycle developments in Macedonia.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Central Banking Theory and Practice ; ISSN: 2336-9205 ; Volume: 5 ; Year: 2016 ; Issue: 3 ; Pages: 61-78 ; Warsaw: De Gruyter Open

Classification and Topics

• Classification: Wirtschaft ; International Policy Coordination and Transmission ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Forecasting ; Business cycle turning points ; Qual VAR ; MCMC ; Latent variable.

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Petrovska, Magdalena ; Krstevska, Aneta ; Naumovski, Nikola
• Event: Veröffentlichung
• (who): De Gruyter Open
• (where): Warsaw
• (when): 2016

Further information

• DOI: doi:10.1515/jcbtp-2016-0020
• Handle: http://hdl.handle.net/10419/217602
• Last update: 10.03.2025, 11:43 AM CET