TY  - UNPD
A1  - Donadelli, Michael
A1  - Paradiso, Antonio
A1  - Riedel, Max
T1  - A novel ex-ante leading indicator for the EU industrial production
T2  - SAFE working paper series ; No. 118
N2  - We build a novel leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper is able to produce an ex-ante LI that is immune to “overlapping information drawbacks”. In addition, the set of variables composing the LI relies on a dynamic and systematic criterion. This ensures that the choice of the variables is not driven by subjective views. Our LI anticipates swings (including the 2007-2008 crisis) in the EU industrial production – on average – by 2 to 3 months. The predictive power improves if the indicator is revised every five or ten years. In a forward-looking framework, via a general-to-specific procedure, we also show that our LI represents the most informative variable in approaching expectations on the EU IP growth.
T3  - SAFE working paper - 118 
KW  - Leading indicator
KW  - EU industrial production
KW  - Granger causality
KW  - Turning points
KW  - Forward-looking models
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/38657
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-386578
UR  - http://ssrn.com/abstract=2694608
PB  - SAFE
CY  - Frankfurt am Main
ER  -