A novel ex-ante leading indicator for the EU industrial production

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 info
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.
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Metadaten
Author:Michael Donadelli, Antonio Paradiso, Max Riedel
URN:urn:nbn:de:hebis:30:3-386578
URL:http://ssrn.com/abstract=2694608
DOI:http://dx.doi.org/10.2139/ssrn.2694608
Parent Title (German):SAFE working paper series ; No. 118
Series (Serial Number):SAFE working paper series (118)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Date of Publication (online):2015/11/24
Date of first Publication:2015/11/24
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2015/12/08
Tag:EU industrial production; Forward-looking models; Granger causality; Leading indicator; Turning points
Pagenumber:22
HeBIS PPN:368523225
Institutes:Wirtschaftswissenschaften
House of Finance (HoF)
Center for Financial Studies (CFS)
Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:C22 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C52 Model Evaluation and Selection
E32 Business Fluctuations; Cycles
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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