Year: 2021
Type: article
Abstract: Leading indicators are important variables in business cycle forecasting. We use wavelet analysis to investigate the lead-lag stability of German leading indicators in time-frequency space. This method permits a time-varying relation of the leading indicators to the reference cycle allowing simultaneously to focus on lead-lag stability at the specific business cycle frequencies. In this way we analyze an index of new orders, a survey-based index of business expectations, an index of stock market returns and the interest rate term spread. We confirm that most of these indicators are indeed leading the reference cycle most of the time, but the number of months leading varies considerably over time and is associated with a great deal of estimation uncertainty.
Author: Jens J. Krüger
Institution: Technische Universität Darmstadt
Language: English
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $2,780
OpenAlex ID: W3206123207