04.06.2010 • 30/2010
Gemeinschaftsdiagnose: IWH-Forscher weiter im Kreis der führenden Konjunkturexperten
Das Institut für Wirtschaftsforschung Halle (IWH) wird auch in den kommenden drei Jahren an dem gemeinsamen Konjunkturgutachten der Wirtschaftsforschungsinstitute für die Bundesregierung mitarbeiten. Am Donnerstag verkündete das Bundeswirtschaftsministerium die Entscheidung zugunsten der Bietergemeinschaft des IWH mit dem neuen Partner, der Kiel Economics Research & Forecasting GmbH & Co. KG. Ebenfalls beteiligt sind das ifo Institut für Wirtschaftsforschung e. V. an der Universität München gemeinsam mit der Konjunkturforschungsstelle an der ETH Zürich KOF, das Institut für Weltwirtschaft an der Universität Kiel gemeinsam mit dem Zentrum für Europäische Wirtschaftsforschung GmbH Mannheim und das Rheinisch-Westfälische Institut für Wirtschaftsforschung e. V. Essen mit dem Institut für Höhere Studien Wien.
Oliver Holtemöller
Should We Trust in Leading Indicators? Evidence from the Recent Recession
Katja Drechsel, Rolf Scheufele
Abstract
The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise and joint significant tests are used to evaluate single indicator as well as forecast combination methods. In addition, we use an end-of-sample instability test to investigate the stability of forecasting models during the recent financial crisis. We find in general that only a small number of single indicator models were performing well before the crisis. Pooling can substantially increase the reliability of leading indicator forecasts. During the crisis the relative performance of many leading indicator models increased. At short horizons, survey indicators perform best, while at longer horizons financial indicators, such as term spreads and risk spreads, improve relative to the benchmark.
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A First Look on the New Halle Economic Projection Model
Sebastian Giesen, Oliver Holtemöller, Juliane Scharff, Rolf Scheufele
Abstract
In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model – the Halle Economic Projection Model (HEPM) – is closely related to studies recently published by the International
Monetary Fund (global projection model). Our main contribution is that we model the Euro area countries separately. In this version we consider Germany and France, which represent together about 50 percent of Euro area GDP. The model allows for country specific heterogeneity in the sense that we capture different adjustment patterns to economic shocks. The model is estimated using Bayesian techniques. Out-of-sample and pseudo out-of-sample forecasts are presented.
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Wirtschaftsentwicklung und Staatsfinanzen: Eine Vorausschau der Jahre 2010 bis 2014
Kristina vanDeuverden, Rolf Scheufele
Wirtschaft im Wandel,
No. 1,
2010
Abstract
In 2009 the German budget was clearly in the red, and in 2010 prospects are even worse. Deficits are such impressive that consolidation became a top subject in general publicity. To provide a sound basis for this discussion the IWH presents its second midterm projection of German economic development and public finances.
While economy will improve slowly in the medium term and the output gap will be closed in the end of the projection period public finances will deteriorate until 2011. Thereafter the situation will improve but only due to cyclical reasons. In 2014 structural budget balance will have reached 2½% of nominal GDP.
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Will there be a shortage of skilled labor? An East German perspective to 2015
Herbert S. Buscher, Eva Dettmann, Marco Sunder, Dirk Trocka
Applied Economics Quarterly Supplement,
2009
Abstract
We analyze the supply and demand of skilled labor in an East German federal state, Thuringia. This state has been facing high unemployment in the course of economic transformation and experiences population aging and shrinking more rapidly than most West European regions. In a first step, we use extrapolation techniques to forecast labor supply and demand for the period from 2009 to 2015, disaggregated by type of qualification. The analysis does not corroborate the notion of an imminent skilled-labor shortage but provides hints for a tightening labor market for skilled workers. In a second step, we ask firms about their appraisal of future recruitment conditions, and both current and planned strategies in the context of personnel management. The majority of firms plans to expand further education efforts and to hire older workers. The study closes with policy recommendations to prevent occupational mismatch.
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The ADR Shadow Exchange Rate as an Early Warning Indicator for Currency Crises
Stefan Eichler, Alexander Karmann, Dominik Maltritz
Journal of Banking and Finance,
No. 11,
2009
Abstract
We develop an indicator for currency crisis risk using price spreads between American Depositary Receipts (ADRs) and their underlyings. This risk measure represents the mean exchange rate ADR investors expect after a potential currency crisis or realignment. It makes crisis prediction possible on a daily basis as depreciation expectations are reflected in ADR market prices. Using daily data, we analyze the impact of several risk drivers related to standard currency crisis theories and find that ADR investors perceive higher currency crisis risk when export commodity prices fall, trading partners’ currencies depreciate, sovereign yield spreads increase, or interest rate spreads widen.
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Prediction Markets: Prognosemärkte in Praxis und Theorie - Ein Überblick
Marian Berneburg
External Publications,
2008
Abstract
A common joke among economist is: Why has god created meteorologists? To make the forecasts of economist look less bad! At the heart of this joke stands the critique that economic forecasts are notoriously inaccurate. Prediction Markets are an attempt to improve these forecasts by aggregating the knowledge of many. The present article takes a closer look at these Prediction Markets. By analysing the existing literature in terms of the relevant theoretical as well as empirical basis, it is shown that an adapted version of the model by Kyle (1985) with noise and insider traders is able to explain the high degree of predictive accuracy, i. e. informational efficiency, of prediction markets. At the same time such a model is able to cope with the Grossman-Stiglitz Paradox (1976) or the No-Trade Theorem (Milgrom & Stokey, 1982), both are common theoretical arguments against informational efficiency. This allows the interpretation of market prices as event probabilities. Even though some empirical artefacts (e. g. the favorite-longshot bias) exist and more research, especially in terms of prediction markets covering economic events, is needed, the overall verdict on these forecasting tools has to be that they are roughly semi-strong efficient. They hence provide an interesting, very accurate and additional tool in forecasting.
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