Skip to main content
Swiss Journal of Economics and Statistics
Download PDF

The real-time predictive content of the KOF Economic Barometer

Swiss Journal of Economics and Statistics volume 147, pages 353–375 (2011)Cite this article

Summary

We investigate whether the KOF Economic Barometer – a leading indicator released by the KOF Swiss Economic Institute – is useful for short-term prediction of quarterly year-on-year real GDP growth in Switzerland. Using a real-time data set consisting of historical vintages of GDP data and the leading indicator we find that the model augemented with the KOF Barometer produces more accurate forecasts of the Swiss GDP than purely autoregressive models and consensus forecasts.

References

  • Amato, Jeffrey D., and Norman R. Swanson (2001), “The Real-Time Predictive Content of Money for Output”, Journal of Monetary Economics, 48, pp. 3–24.

    Article  Google Scholar 

  • Ashley, Richard, Clive W. J. Granger, and Richard Schmalensee (1980), “Advertising and Aggregate Consumption: An Analysis of Causality”, Econometrica, 48, pp. 1149–1167.

    Article  Google Scholar 

  • Clark, Todd E., and Kenneth D. West (2007), “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models”, Journal of Econometrics, 138, pp. 291–311.

    Article  Google Scholar 

  • Croushore, Dean (2005), “Do Consumer-Confidence Indexes Help Forecast Consumer Spending in Real Time?”, The North American Journal of Economics and Finance, 16, pp.435–450.

    Article  Google Scholar 

  • Cuche-Curti, Nicolas, Pamela Hall, and Attilio Zanetti (2008), “Swiss GDP Revisions: A Monetary Policy Perspective”, Journal of Business Cycle Measurement and Analysis, 4, pp. 183–214.

    Google Scholar 

  • Diebold, Francis X. and Robert S. Mariano (1995), “Comparing Predictive Accuracy”, Journal of Business & Economic Statistics, 13, pp. 253–63.

    Google Scholar 

  • Diebold, Francis X. and Glenn D. Rudebusch (1991), “Forecasting Output with the Composite Leading Index: A Real-Time Analysis”, Journal of the American Statistical Association, 86, pp. 603–610.

    Article  Google Scholar 

  • Doornik, Jurgen A. (2007), Object-Oriented Matrix Programming Using Ox. London.

  • Graff, Michael (2006), „Ein multisektoraler Sammelindikator für die Schweizer Konjunktur“, Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 142, pp. 529–577.

    Google Scholar 

  • Graff, Michael (2010), “Does a Multi-Sectoral Design Improve Indicator-Based Forecasts of the GDP Growth Rate? Evidence for Switzerland”, Applied Economics, 42, pp. 2579–2781.

    Article  Google Scholar 

  • Granger, Clive W. J., Maxwell L. King, and Hall White (1995), “Comments on Testing Economic Theories and the Use of Model Selection Criteria”, Journal of Econometrics, 67, pp. 173–187.

    Article  Google Scholar 

  • Harvey, David I., Stephen J. Leybourne, and Paul Newbold (1997), “Testing the Equality of Prediction Mean Squared Errors”, International Journal of Forecasting, 13, pp. 281–291.

    Article  Google Scholar 

  • Harvey, David I., Stephen J. Leybourne, and Paul Newbold (1998), “Tests for Forecast Encompassing”, Journal of Business & Economic Statistics, 16, pp. 254–259.

    Google Scholar 

  • Marcellino, Massimiliano, James H. Stock, and Mark W. Watson (2006), “A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series”, Journal of Econometrics, 135, pp. 499–526.

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. ETH Zurich, KOF Swiss Economic Institute, Weinbergstrasse 35, 8092, Zurich, Switzerland

    Boriss Siliverstovs

Authors
  1. Boriss Siliverstovs
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Boriss Siliverstovs.

Additional information

We are grateful to Niklas Ahlgren, Marc Gronwald, Konstantin A. Kholodilin and to participants at the KOF Brown Bag Seminar (Zurich, Switzerland), the XIV Spring Meeting of Young Economists (Istanbul, Turkey) as well as the DIW End of Year Summit 2010 for constructive comments on an earlier draft of the paper. Two anonymous referees provided very insightful comments and suggestions that greatly helped to shape the manuscript. We also would like to thank Philip Hubbard for the permission to use consensus forecasts data in this paper. The usual disclaimer applies. All computations were performed using Ox version 6.0 (Doornik, 2007).

Rights and permissions

Open Access This article is distributed under the terms of the Creative Commons Attribution 2.0 International License ( https://creativecommons.org/licenses/by/2.0 ), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Reprints and permissions

About this article

Cite this article

Siliverstovs, B. The real-time predictive content of the KOF Economic Barometer. Swiss J Economics Statistics 147, 353–375 (2011). https://doi.org/10.1007/BF03399350

Download citation

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF03399350

JEL-Classification

Keywords