Work detail

Accuracy of Leading Economic Indicators

Author: Bc. Michal Sabol
Year: 2016 - summer
Leaders:
Consultants:
Work type: Bachelors
Language: English
Pages: 92
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/162892/
Abstract: The bachelor thesis deals with the evaluation of the predictive ability and
measurement of the forecasting performance that economic indicators display with
respect to the upcoming development of the business cycle. It provides overview of
the business cycle and of the most commonly used leading indicators. Additionally,
measurement methods of the forecasting performance are reviewed. The core of the
thesis is the assessment of the forecasting performance of the Czech and German
economic indicators intra- and inter-countries. In the first stage of the analysis, the
predictive ability of indicators is evaluated according to the Pearson correlation
coefficient and the Granger causality. Subsequently, small set of indicators is
selected, and through ARIMA and ARIMAX models is their forecasting performance
further analysed. The results of the analysis show that the quantitative indicators from
the categories such as production, turnover, trade and finance, and qualitative
indicators aimed at business climate, economic expectations and different economic
sectors display considerable rate of predictive ability for both countries. Moreover,
the OECD's CLI and Stock Market Indexes exhibit greater relative importance in the
case of the Czech Republic than in that of Germany, whereas, for the Overall
Business Indexes and OECD's manufacturing CI opposite seems to be true.
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