Do leading indicators help to predict business cycle turning points in Germany?

Ulrich Fritsche and Vladimir Kouzine

Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that the interest rate spread, the long-term interest rate as well as some monetary indicators and some survey indicators can help predicting turning points of the business cycle.

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Year of publication:	November 2002
Authors:	Fritsche, Ulrich ; Kouzine, Vladimir
Publisher:	Berlin, Germany : DIW Berlin, German Institute for Economic Research
Subject:	Business cycle \| leading indicators \| probit model \| McFadden's R2 \| Markov switching models \| Wirtschaftsindikator \| Economic indicator \| Frühindikator \| Leading indicator \| Prognoseverfahren \| Forecasting model \| Schätzung \| Estimation \| Deutschland \| Germany

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Do leading indicators help to predict business cycle turning points in Germany?. - Berlin : DIW, 2002. - 22 S.

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