OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

The Forecasting Performance of Composite Leading Indicators

Does Globalisation Matter? You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3311011ec003.pdf
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Author(s):
Ferdinand Fichtner, Rasmus Rüffer, Bernd Schnatz
18 May 2011
Pages:
18
Bibliographic information
No.:
3,
Volume:
2011,
Issue:
1
Pages:
55–72
http://dx.doi.org/10.1787/jbcma-2011-5kgg5k4zb49w

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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.
 
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