The Forecasting Performance of Composite Leading Indicators: Does Globalisation Matter?
Using OECD Composite Leading Indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for fo...
Gespeichert in:
| 1. Verfasser: | |
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| Weitere Verfasser: | , |
| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2011
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Zusammenfassung: | Using OECD Composite Leading Indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons of four to eight months ahead. The evidence is particularly strong when taking cointegration relationships into account. At the same time, we find indications that the forecast accuracy has declined over time for several countries. Augmenting the country-specific CLI with a leading indicator of the external environment and employing forecast combination techniques improves the forecast performance for several economies. Over time, the increasing importance of international dependencies is documented by relative performance gains of the extended model for selected countries |
| Beschreibung: | 1 Online-Ressource (18 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2011-5kgg5k4zb49w |
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| spelling | Fichtner, Ferdinand Verfasser aut The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? Ferdinand Fichtner, Rasmus Rüffer and Bernd Schnatz Paris OECD Publishing 2011 1 Online-Ressource (18 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier Using OECD Composite Leading Indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons of four to eight months ahead. The evidence is particularly strong when taking cointegration relationships into account. At the same time, we find indications that the forecast accuracy has declined over time for several countries. Augmenting the country-specific CLI with a leading indicator of the external environment and employing forecast combination techniques improves the forecast performance for several economies. Over time, the increasing importance of international dependencies is documented by relative performance gains of the extended model for selected countries Economics Rüffer, Rasmus ctb Schnatz, Bernd ctb https://doi.org/10.1787/jbcma-2011-5kgg5k4zb49w Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Fichtner, Ferdinand The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? Economics |
| title | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? |
| title_auth | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? |
| title_exact_search | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? |
| title_exact_search_txtP | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? |
| title_full | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? Ferdinand Fichtner, Rasmus Rüffer and Bernd Schnatz |
| title_fullStr | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? Ferdinand Fichtner, Rasmus Rüffer and Bernd Schnatz |
| title_full_unstemmed | The Forecasting Performance of Composite Leading Indicators Does Globalisation Matter? Ferdinand Fichtner, Rasmus Rüffer and Bernd Schnatz |
| title_short | The Forecasting Performance of Composite Leading Indicators |
| title_sort | the forecasting performance of composite leading indicators does globalisation matter |
| title_sub | Does Globalisation Matter? |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-2011-5kgg5k4zb49w |
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