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Do probit models help in forecasting turning points of German business cycles?
Fritsche, Ulrich - EconWPA - 2001
in the probit model the fact that the economy is already in a state of recession must be controlled for. The results of …
Persistent link: https://www.econbiz.de/10005076772
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Leading Indicators of Euroland Business Cycles
Fritsche, Ulrich; Marklein, Felix - EconWPA - 2001
The introduction of a common monetary policy in eleven European countries increased the need for leading indicators for that area. A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference...
Persistent link: https://www.econbiz.de/10005076700
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Leading Indicators of German Business Cycles: An Assessment of Properties
Fritsche, Ulrich; Stephan, Sabine - EconWPA - 2000
A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time....
Persistent link: https://www.econbiz.de/10005561215
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R&D Behavior of German Manufacturing Companies during the 2008/09 Recession
Eickelpasch, Alexander - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
This paper investigates to what extent the R&D behavior of manufacturing companies was influenced by the 2008/09 crisis. Based on a broad official data set for German manufacturing companies, only a few companies that engaged in R&D during 2008 gave it up in the following year. Some companies...
Persistent link: https://www.econbiz.de/10010896184
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Forecasting U.S. Recessions with Macro Factors
Fossati, Sebastian - Department of Economics, University of Alberta - 2013
Dynamic factors estimated from panels of macroeconomic indicators are used to predict future recessions using probit models. Three factors are considered: a bond and exchange rates factor; a stock market factor; a real activity factor. Three results emerge. First, models that use only financial...
Persistent link: https://www.econbiz.de/10011266406
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Monitoring Business Cycles with Structural Breaks
Marcelle, Chauvet; Simon, Potter - Volkswirtschaftliche Fakultät, … - 2007
evidence in favor of the ones that allow for the possibility that the economy has experienced recurrent breaks. The recession … probabilities of these models provide a clearer classification of the business cycle into expansion and recession periods, and … superior performance in the ability to correctly call recessions and to avoid false recession signals. Overall, the sensitivity …
Persistent link: https://www.econbiz.de/10005014744
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Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle
Harding, Don - Department of Economics and Finance, La Trobe Business … - 2010
probability of recession varies with the yield spread. …
Persistent link: https://www.econbiz.de/10010541670
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Prediction of Business Cycle Turning Points in Germany
Fritsche, Ulrich; Kuzin, Vladimir - In: Journal of Economics and Statistics (Jahrbuecher fuer … 225 (2005) 1, pp. 22-43
Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as Markov-switching...
Persistent link: https://www.econbiz.de/10005668440
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QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
Nyberg, Henri - Volkswirtschaftliche Fakultät, … - 2010
In the empirical finance literature findings on the risk return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock...
Persistent link: https://www.econbiz.de/10008534252
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The Econometric Analysis of Constructed Binary Time Series
Harding, Don; Pagan, Adrian - Department of Economics, Faculty of Business and Economics - 2006
Macroeconometric and Financial researchers often use secondary or constructed binary random variables that differ in terms of their statistical properties from the primary random variables used in microeconometric studies. One important di¤erence between primary and secondary binary variables...
Persistent link: https://www.econbiz.de/10005578908