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Accuracy of Leading Economic Indicators
Sabol, Michal ; Pištora, Vojtěch (advisor) ; Hausenblas, Václav (referee)
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...
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Accuracy of Leading Economic Indicators
Sabol, Michal ; Pištora, Vojtěch (advisor) ; Hausenblas, Václav (referee)
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...
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