Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217602 
Year of Publication: 
2016
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 5 [Issue:] 3 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2016 [Pages:] 61-78
Publisher: 
De Gruyter Open, Warsaw
Abstract: 
This paper aims at assessing the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the economic sentiment indicator (ESI) within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic conditions. We further proceed analyzing how well an extended set of indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results show that the use of survey-based indicators as a complement to macroeconomic data work satisfactory well in capturing the business cycle developments in Macedonia.
Subjects: 
Forecasting
Business cycle turning points
Qual VAR
MCMC
Latent variable.
JEL: 
F42
C25
C22
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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