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A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy

Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultan...

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Autor principal: Krüger, Jens J.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8525461/
http://dx.doi.org/10.1007/s41549-021-00060-8
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author Krüger, Jens J.
author_facet Krüger, Jens J.
author_sort Krüger, Jens J.
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description Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty.
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spelling pubmed-85254612021-10-20 A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy Krüger, Jens J. J Bus Cycle Res Research Paper Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty. Springer International Publishing 2021-10-19 2021 /pmc/articles/PMC8525461/ http://dx.doi.org/10.1007/s41549-021-00060-8 Text en © The Author(s) 2021 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Research Paper
Krüger, Jens J.
A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy
title A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy
title_full A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy
title_fullStr A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy
title_full_unstemmed A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy
title_short A Wavelet Evaluation of Some Leading Business Cycle Indicators for the German Economy
title_sort wavelet evaluation of some leading business cycle indicators for the german economy
topic Research Paper
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8525461/
http://dx.doi.org/10.1007/s41549-021-00060-8
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