We investigate the predictive power of several leading indicators in order to forecast industrial production in Germany. In addition, we compare their predictive performance with variables from two competing categories, namely macroeconomic and financial variables. The predictive power within...

We investigate the predictive power of several leading indicators in order to forecast industrial production in Germany. In addition, we compare their predictive performance with variables from two competing categories, namely macroeconomic and financial variables. The predictive power within...

This paper presents a coincident and a leading composite monthly indicator for the world business cycle - the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection...

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...

Expectations are highly relevant for macroeconomic dynamics. Yet, the empirical evidence about properties of corporate macroeconomic expectations is scarce. Using new survey data on quantitative growth expectations of firms in Germany, we show that expectations are highly dispersed. The degree...

The spread of the coronavirus worldwide is exerting considerable pressure on the economy. Compounded by the lack of quality data, model uncertainty, and uncertainty over government responses, economic forecasts are subject to even greater uncertainty than usual. It is difficult to predict how...

This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI is a weekly composite index of real economic activity, with eight of ten series available...

Jarocinski and Karadi (2020) disentangle a pure information from the interest rate component of monetary policy surprises. This note quantifies the information revealed in FOMC announcements using forecast revisions from Blue Chip Economic Indicators. In response to a positive central bank...

As a rule, the economy regularly undergoes various phases, from a recession up to expansion. This paper is focused on models predicting corporate financial distress. Its aim is to analyze impact of individual phases of the economic cycle on final scores of the prediction models. The prediction...

This analysis investigates the predictive power of the most important leading indicators for the German economy, which are provided by the ifo Institute and IHS Markit. We conduct an out-of-sample, real-time forecast experiment for growth of gross domestic product and growth of gross value added...

Using a novel dataset that contains qualitative firm survey data on sales forecasts as well as balance-sheet data on realized sales, we document that only major forecast errors are predictable and display autocorrelation. This result is a particular violation of the Full Information Rational...

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

We follow the idea of exploiting cross-sectional information to improve recession probability forecasts by aggregating indicator-specific turning point predictions to obtain economy-wide recession probabilities. This stands in contrast to most of the relevant literature, which relies on an...

Stock market recessions are often early warning signals for financial or economic crises. Hence, forecasting bear markets is important for investors, policymakers, and economic agents in general. In our two-step procedure, we first identify stock market regimes in the US using three different...

The spread of the coronavirus will have a considerable impact on the German economy. The economy will be hit in a situation in which it was just about to regain footing after the downturn of the past year. Recently, signs have been increasing that industrial production is finding its bottom and...

We propose a simple modification of Hamilton’s (2018) time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical...

Expectations are highly relevant for macroeconomic dynamics. Yet, the empirical evidence about properties of corporate macroeconomic expectations is scarce. Using new survey data on quantitative growth expectations of firms in Germany, we show that expectations are highly dispersed. The degree...

We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19 recession), financial variables...

We analyse the performance of financial market variables in nowcasting Finnish quarterly GDP growth. Especially, we assess if prediction accuracy is affected by the sampling frequency of the financial variables. Therefore, we apply MIDAS models that allow us to forecast quarterly GDP growth...

The ifo Institute is Germany’s largest business survey provider, with the ifo Business Climate Germany as one of the most important leading indicators for gross domestic product. However, the ifo Business Survey is not solely limited to the Business Climate and also delivers a multitude of...

Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving Covid-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be...

A new causal simulation model of economic development was created, which comprehensively in detail and fully reflects various types of legal and shadow economic activities and their interrelations. The model is used to forecast the whole (legal and shadow) country' s economy up to 2022. The...

The consequences of the ongoing 2020 coronavirus pandemic are leaving deep marks on the global economy. In the first quarter of 2020, global production sank by 15.5 percent over the course of the worldwide lockdown. Since containment measures in many countries were mainly implemented during the...

The coronavirus recession has left deep marks on the German economy and despite economic policy action, it is likely to heal only slowly. The partial easing of the lockdown and a gradual revival of global value chains are generating positive stimuli, but massive income losses will curb demand...

We propose a simple model of expectation formation with three distinct deviations from fully rational expectations. In particular, forecasters' expectations are sticky, extrapolate the most recent news about the current period, and depend on the lagged consensus forecast about the period being...

This paper studies the predictive power for recessions of the slope of the Swiss term structure using monthly data for 1974-2017. Dynamic probit models indicate that the term structure contains information useful for predicting recessions for horizons up to 19 months. Whether the economy is...

Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving COVID-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be...

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...

This paper analyses how firm-specific forecast errors derived from survey data of German manufacturing firms over 2007–2011 affect firms’ investment propensity. Understanding how forecast errors affect firm investment behaviour is key to mitigate economic downturns during and after crisis...

This study aims to refine unemployment forecasts by incorporating the degree of consensus in consumers' expectations. With this objective, we first model the unemployment rate in eight European countries using the step-wise algorithm proposed by Hyndman and Khandakar (J Stat Softw 27(3):1-22,...

The German economy is facing strong headwinds. In recent months, economic momentum has continued to slow down and companies are much more pessimistic about the future. The high level of global economic policy uncertainty likely was an important contributing factor. Gross domestic product (GDP)...

The German economy has shifted down a gear. After still very high economic momentum in Germany until the middle of last year, production stalled noticeably. Temporary stress factors such as the problems of automobile manufacturers with the new WLTP standard and the low water levels in the Rhine...