The Financial Crisis from a Forecaster's Perspective
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
The Financial Crisis from a Forecaster's Perspective
Drechsel, Katja | Scheufele, Rolf
Credit and Capital Markets – Kredit und Kapital, Vol. 45(2012), Iss. 1 : pp. 1–26 | First published online: October 03, 2017
5 Citations (CrossRef)
Additional Information
Article Details
Author Details
Dr. Katja Drechsel, Institut für Wirtschaftsforschung Halle (IWH), Abteilung Makroökonomik, Kleine Märkerstraße 8, D-06108 Halle (Saale)
Dr. Rolf Scheufele, Schweizerische Nationalbank, Börsenstraße 15, CH-8022 Zürich
Cited By
-
The Forecasting Power of the ifo Business Survey
Lehmann, Robert
Journal of Business Cycle Research, Vol. 19(2023), Iss. 1 P.43
https://doi.org/10.1007/s41549-022-00079-5 [Citations: 23] -
Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence
Heinisch, Katja | Scheufele, RolfGerman Economic Review, Vol. 20(2019), Iss. 4 P.e170
https://doi.org/10.1111/geer.12163 [Citations: 9] -
The Role of Targeted Predictors for Nowcasting GDP with Bridge Models: Application to the Euro Area
Kitlinski, Tobias | an de Meulen, PhilippSSRN Electronic Journal, Vol. (2015), Iss.
https://doi.org/10.2139/ssrn.2618491 [Citations: 2] -
Beeinflussen Wirtschaftsnachrichten auch Wirtschaftserwartungen von Experten?
Lischka, Juliane A. | Siegert, GabrieleStudies in Communication Sciences, Vol. 13(2013), Iss. 2 P.174
https://doi.org/10.1016/j.scoms.2013.09.002 [Citations: 2] -
With or Without You - Do Financial Data Help to Forecast Industrial Production?
Kitlinski, Tobias
SSRN Electronic Journal, Vol. (2015), Iss.
https://doi.org/10.2139/ssrn.2618490 [Citations: 1]
Abstract
The Financial Crisis from a Forecaster's Perspective
This paper analyses the recession in 2008/2009 in Germany. This recession is very different from previous recessions in particular regarding their causes and magnitude. We show to what extent forecasters and forecasts based on leading indicators fail to detect the timing and the magnitude of the recession. This study shows that large forecast errors for both expert forecasts and forecasts based on leading indicators resulted during this recession which implies that the recession was very difficult to forecast. However, some leading indicators (survey data, risk spreads, stock prices) have indicated an economic downturn and hence, beat univariate time series models. Although the combination of individual forecasts provides an improvement compared to the benchmark model, the combined forecasts are worse than several individual models. A comparison of expert forecasts with the best forecasts based on leading indicators shows only minor deviations. Overall, the range for an improvement of expert forecasts in the crisis compared to indicator forecasts is small. (JEL E37, C53)