Business Cycles Indicators and Short-term Forecasts of Polish Industry Production Index
DOI:
https://doi.org/10.12775/OeC.2013.023Keywords:
business cycle indicators, short-term forecast, industrial productionAbstract
The aim of this paper is to evaluate the impact of using popular business cycle indicators on the forecasts of industry production index. Research is conducted on Polish economy, by using methodology proposed by M. Klein.
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References
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Marchetti D.J., Parigi G. (2000), Energy consumption, survey data and the prediction of industrial production in Italy: a comparison and combination of different models, ?Journal of Forecasting?, Vol. 19, No. 5, doi:10.1002/1099- 131X(200009)19:5<419::AID-FOR749>3.0.CO;2-J.
Ozyildirim A., Schaitkin B. i Zarnowitz V. (2010), Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators, ?Journal of Forecasting?, Vol. 29, No. 1-2, doi:10.1002/for.1146.
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White H. (1980), A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, ?Econometrica?, Vol. 48, No. 4, doi:10.1912934.
Bodo G., Golinelli R. i Parigi G. (2000), Forecasting industrial production in the Euro area, ?Empirical Economics?, Vol. 25, No. 4. doi:10.1007/s001810000032.
Bruno G., Lupi C. (2004), Forecasting industrial production and the early detection of turning points, ?Empirical Economics?, Vol. 29, No. 3. doi:10.1007/s00181-004-0203-y.
Camba-Mendez G., Kapetanios G., Smith R.J. i Weale M.R. (2001), An automatic leading indicator of economic activity: forecasting GDP growth for European countries, ?Econometrics Journal?, Vol. 4, No. 1. doi:10.1111/1368- 423X.00053.
Camba-Mendez G., Kapetanios G., Smith R.J. i Weale M.R. (2004), The forecasting performance of the OECD Composite Leading Indicators for France, Germany, Italy and the UK [w:] M.P. Clements, D.F. Hendry (red.), A companion to economic forecasting, Blackwell Publishing, Oxford. doi:10.1002/9780470996430.ch17.
Carstensen K., Wohlrabe K. i Ziegler C. (2011), Predictive ability of business cycle indicators under test: A case study for the Euro Area industrial production, ?Journal of Economics and Statistics?, Vol. 231, No. 1.
Dreger C., Schumacher C. (2005), Out-of-sample performance of leading indicators for the German business cycle vs. combined forecasts, ?Journal of Business Cycle Measurement and Analysis?, Vol. 2, No. 1, doi:10.1787/jbcma- 2005-5km7v183qs0v.
Emerson R.A., Hendry D.F. (1996), An evaluation of forecasting using leading indicators, ?Journal of Forecasting?, Vol. 15, No. 4. doi:10.1002/(SICI)1099- 131X(199607)15:4<271::AID-FOR623>3.0.CO;2-7.
Fildes R., Ord K. (2004), Forecasting competitions: Their role in improving forecasting practice and research [w:] M.P. Clements, D.F. Hendry (red.), A companion to economic forecasting, Blackwell Publishing, Oxford. doi:10.1002/9780470996430.ch15.
Forni M., Hallin M., Lippi M. i Reichlin L. (2001), Coincident and leading indicators for the Euro Area, ?The Economic Journal?, Vol. 111, No. 471, doi:10.1111/1468-0297.00620.
Franses P.H. (1998), Time series models for business and economic forecasting, Cambridge University Press, Cambridge.
Fritsche U., Stephan S. (2002), Leading indicators of German business cycles, ?Journal of Economics and Statistics?, Vol. 222, No. 3.
Funke N. (1997), Predicting recessions: Some evidence for Germany, ?Weltwirtschaftliches Archiv?, Vol. 133, No. 1, doi:10.1007/BF02707678.
Hüfner F.P., Schröder M. (2002), Forecasting economic activity in Germany ? How useful are sentiment indicatiors?, ?ZEW Discussion Paper?, No. 02-56. ftp://ftp.zew.de/pub/zew-docs/dp/dp0256.pdf (10.07.2013).
Klein M. (2012), In-sample and out-of-sample performance of alternative business cycle indicators in core European countries. http://www.boeckler.de/pdf/ v_2012_10_25_klein.pdf (10.07.2013).
Ljung G.M., Box G.E.P. (1978), On a measure of lack of fit in time series models, ?Biometrika?, Vol. 65, No. 2. doi:10.1093/biomet/65.2.297.
Marcellino M., Stock J.H. i Watson M.W. (2003), Macroeconomic forecasting in the Euro area: Country specific versus area-wide information, ?European Economic Review?, Vol. 47, No. 1, doi:10.1016/S0014-2921(02)00206-4.
Marchetti D.J., Parigi G. (2000), Energy consumption, survey data and the prediction of industrial production in Italy: a comparison and combination of different models, ?Journal of Forecasting?, Vol. 19, No. 5, doi:10.1002/1099- 131X(200009)19:5<419::AID-FOR749>3.0.CO;2-J.
Ozyildirim A., Schaitkin B. i Zarnowitz V. (2010), Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators, ?Journal of Forecasting?, Vol. 29, No. 1-2, doi:10.1002/for.1146.
Skrzypczyński P. (2008), Wahania aktywności gospodarczej w Polsce i strefie euro, ?Materiały i Studia NBP?, Nr 227.
Stock J.H., Watson M.W. (1996), Evidence on structural instability in macroeconomic time series relations, ?Journal of Business & Economic Statistics?, Vol. 14, No. 1. doi:10.1080/07350015.1996.10524626.
West K. D. (2006), Forecast evaluation [w:] G. Elliott, C.W.J. Granger, A. Timmermann (red.), Handbook of Economic Forecasting, Volume 1, North Holland, Amsterdam, doi:10.1016/S1574-0706(05)01003-7.
White H. (1980), A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, ?Econometrica?, Vol. 48, No. 4, doi:10.1912934.
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Published
30-09-2013
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Section
Articles
How to Cite
Kolba, P. M., & Kotkowski, R. (2013). Business Cycles Indicators and Short-term Forecasts of Polish Industry Production Index. Oeconomia Copernicana, 4(3), 65-79. https://doi.org/10.12775/OeC.2013.023
