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Do probit models help in forecasting turning points in German business cycles?
Fritsche, Ulrich - 2001
in the probit model the fact that the economy is already in a state of recession must be controlled for. The results of …
Persistent link: https://www.econbiz.de/10011434014
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Leading indicators of Euroland business cycles
Fritsche, Ulrich; Marklein, Felix - 2001
The introduction of a common monetary policy in eleven European countries increased the need for leading indicators for that area. A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference...
Persistent link: https://www.econbiz.de/10011433997
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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are … well. We show that such model-implied recession probabilities strongly improve equity premium prediction out-of-sample. We …
Persistent link: https://www.econbiz.de/10012607106
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Dissecting the financial cycle with dynamic factor models
Menden, Christian; Proaño Acosta, Christian - 2017
recession forecasts significantly. In particular, the factor related to financial market participants’ uncertainty and risk …
Persistent link: https://www.econbiz.de/10011663432
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Dissecting the financial cycle with dynamic factor models
Menden, Christian; Proaño Acosta, Christian - 2017
recession forecasts significantly. In particular, the factor related to financial market participants' uncertainty and risk …
Persistent link: https://www.econbiz.de/10011710012
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Heterogeneity in manufacturing growth risk
Opschoor, Daan; Dijk, Dick van; Franses, Philip Hans - 2021
We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable...
Persistent link: https://www.econbiz.de/10012510760
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Vorlaufeigenschaften von ifo-Indikatoren für Westdeutschland
Fritsche, Ulrich - 1999
Ifo-Indikatoren werden auf ihre Vorlaufeigenschaften, auf Granger-Kausalität, die Stabilität der Vorlaufbeziehung und einen Strukturbruch untersucht. Da die Ifo-Reihen noch nicht auf die neue Gliederung der amtlichen Statistik (WZ 93) umgestellt wurden, wird erstmals die Eignung der...
Persistent link: https://www.econbiz.de/10010260707
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Leading indicators of German business cycles: An assessment of properties
Fritsche, Ulrich; Stephan, Sabine - 2000
A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time....
Persistent link: https://www.econbiz.de/10010324215
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Vorlaufeigenschaften von Ifo-Indikatoren für Westdeutschland
Fritsche, Ulrich - 1999
Ifo-Indikatoren werden auf ihre Vorlaufeigenschaften, auf Granger-Kausalität, die Stabilität der Vorlaufbeziehung und einen Strukturbruch untersucht. Da die Ifo-Reihen noch nicht auf die neue Gliederung der amtlichen Statistik (WZ 93) umgestellt wurden, wird erstmals die Eignung der...
Persistent link: https://www.econbiz.de/10011432476
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Leading indicators of German business cycles : an assessment of properties
Fritsche, Ulrich; Stephan, Sabine - 2000
A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time....
Persistent link: https://www.econbiz.de/10011432915