Journal of Business Cycle Measurement and Analysis

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.


The Economic Sentiment Indicator

Leading Indicator - Properties in Old and New EU Member States

This paper assesses the leading indicator properties of the Economic Sentiment Indicator (ESI) of the European Commission, as well as two of its subcomponents, for industrial production growth. For this purpose we perform correlation analysis, Granger causality tests, an assessment on the ability to predict turning points and an out-of-sample forecasting exercise. Within a panel setting we compare the characteristics of these indicators for two subgroups of EU countries: the EU-15 and the new EU member states. We show that the forecasting quality and the leading indicator properties are still slightly lagging behind in the group of new EU member states. This may be related to the general problem of data quality and the undergone history of structural change in these countries that makes the assessment of future economic prospects particularly difficult.


Keywords: Business cycle fluctuations, Forecasting, Leading indicators, New EU member states
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