Krüger, Jens J. (2021)
A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy.
In: Journal of Business Cycle Research, 17 (3)
doi: 10.1007/s41549-021-00060-8
Artikel, Bibliographie
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Kurzbeschreibung (Abstract)
Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty.
| Typ des Eintrags: | Artikel |
|---|---|
| Erschienen: | 2021 |
| Autor(en): | Krüger, Jens J. |
| Art des Eintrags: | Bibliographie |
| Titel: | A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy |
| Sprache: | Englisch |
| Publikationsjahr: | 2021 |
| Ort: | Cham |
| Verlag: | Springer International Publishing |
| Titel der Zeitschrift, Zeitung oder Schriftenreihe: | Journal of Business Cycle Research |
| Jahrgang/Volume einer Zeitschrift: | 17 |
| (Heft-)Nummer: | 3 |
| DOI: | 10.1007/s41549-021-00060-8 |
| Zugehörige Links: | |
| Kurzbeschreibung (Abstract): | Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty. |
| Freie Schlagworte: | Business cycle forecasting, Leading indicators, Wavelet analysis, Phase difference |
| Zusätzliche Informationen: | JEL Classification C49 · E32 · E37 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Empirische Wirtschaftsforschung |
| Hinterlegungsdatum: | 10 Sep 2024 18:28 |
| Letzte Änderung: | 10 Sep 2024 18:28 |
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| Suche nach Titel in: | TUfind oder in Google |
Verfügbare Versionen dieses Eintrags
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A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy. (deposited 03 Sep 2024 14:04)
- A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy. (deposited 10 Sep 2024 18:28) [Gegenwärtig angezeigt]
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