Based on a panel of German professional forecasts for 1970-2004 we analyse the dispersion of growth and inflation forecasts. Forecast dispersion varies over time and is particularly high before and during recessions. There is no clear link between forecast dispersion and the subsequent forecast error. Forecast dispersion is positively correlated with the volatility of macroeconomic variables, but not ...
We analyse forecasts of professional forecasters for Germany regarding the time span from 1970 to 2004. This novel panel data set renders it possible to assess the accuracy and efficiency of growth and inflation forecasts more efficiently than in previous studies. We argue that the forecasts are, on average, unbiased and weakly - but not strongly - efficient. Using model confidence sets suggested by ...
In this paper a dynamic bi-factor model with Markov-switching is developed to measure and predict turning points. Both common factors, namely composite leading index (CLI) and composite coincident index (CCI) respectively, have their own cyclical dynamics, and their lead-lag relationships are reflected in the transition probabilities matrix. The model is applied to four coincident and four selected ...
In this paper we perform a comparative study of the forecasting properties of the about 30 alternative leading indicators for Germany using the growth rates of German real GDP. In addition to them, we have constructed a diffusion index based on the principal component analysis and including 145 component series that reflect all the facets of German economy. We use the post-unification data which cover ...
Infrastructure restructuring is one of the major elements of structural reforms in transition economies because of its expected large economic and social impact. This article aims to assess the role of infrastructure policy in economic development in transition countries in general and Ukraine in particular. We test the relationship between infrastructure policy and economic growth, though this test ...