What Determines the ZEW Indicator?

Lahl, David ; Hüfner, Felix P.

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URL: https://ub-madoc.bib.uni-mannheim.de/156
URN: urn:nbn:de:bsz:180-madoc-1565
Document Type: Working paper
Year of publication: 2003
The title of a journal, publication series: Discussion Paper / ZEW
Volume: 03-48
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: E32 E37 ,
Subject headings (SWD): Konjunkturindikator
Abstract: This paper analyzes which factors are driving the ZEW Indicator of Economic Sentiment. Using the results of a poll among survey participants as well as Granger causality tests we identify three groups of influence factors: other sentiment indicators, financial variables and real economy data. In a second step these factors are used to estimate out-of-sample forecasts for the ZEW Indicator. We find that a simple model that includes German manufacturing order data, the German yield structure and the US Consumer Confidence indicator as explanatory variables is able to outperform a naive univariate benchmark model as well as the consensus forecast for the ZEW Indicator as published by news agencies.
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