English, Article, Journal or magazine article edition: Assessment of the Leading Indicator Properties of Economic Variables for France, Germany, and Italy Katharina Raabe

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Assessment of the Leading Indicator Properties of Economic Variables for France, Germany, and Italy
Author
  • Katharina Raabe
Physical Description
  • preprint
Notes
  • This paper considers the leading indicator properties of quantitative and qualitative variables for France, Germany, and Italy. The analysis employs cross-correlograms to gain a basic understanding as to the lead-lag characteristics of indicator variables. Furthermore, the study qualifies the short-term and long-term linkages between possible indicator variables and the reference series of the business cycle by carrying out bivariate and multivariate Granger-causality tests and by estimating error correction models. The results suggest that the examined indicator variables generally establish a lead over the business cycle, albeit only at short horizons. Cross-country differences prevail as to the direction of the effect of a chosen variable on industrial production.
  • Business Cycles, Leading Indicators, Granger-Causality Tests, Error-Correction Models
  • RePEc:ces:ifowps:_74
Language
  • English
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