Improving Business Cycle Forecasts’ Accuracy - What Can We Learn from Past Errors?

Roland Dohrn

Annex

List of Indicators Analysed

Abbrevia- tion	Indicator	Source	Transformation	Lag¹
CSI	Consumer Sentiment Index	Europ. Comm.	seasonally adjusted	t-2
CDAX	Share price index CDAX	Bundesbank	year over year change	t-1
CDAX3	Share price index CDAX	Bundesbank	3 month moving average, year over year change	t-1
IFOC	ifo business climate, manu- facturing	ifo	seasonally adjusted	t-1
IFOE	ifo business expectations, manufacturing	ifo	seasonally adjusted	t-1
LR	Long term interest rate, 10 years government bond yields	Bundesbank	-	t-1
LR-1	Long term interest rate, 10 year sgovernment bond yields	Bundesbank	12 month moving average	t-1
NOC	New orders construction sector	Destatis	year over year change	t-2
NOMF	New foreign orders manu- facturing sector	Destatis	2 month moving average, month over month change	t-2
NOMT	New orders manufacturing sector	Destatis	2 month moving average, month over month change	t-2
OECD	OECD leading indicator Germany	OECD	2 month moving average, month over month change	t-2
REER	Real effective exchange rate; Index of price competitive- ness of the German economy against 19 industrialised countries, deflated with con- sumer prices	Bundesbank	year over year change	t-1
REER3	Real effective exchange rate (see above)	Bundesbank	3 month moving average, year over year change	t-1
RSR	Real short term interest rate; short term rate (SR) deflated by consumer price inflation	Bundesbank	-	t-1
RSR-1	Real short term interest rate; short term rate (SR) deflated by consumer price inflation	Bundesbank	12 month moving average	t-1
SR	Short term interest rate, 3 month Euribor	Bundesbank	-	t-1
SR-1	Short term interest rate, 3 month Euribor	Bundesbank	12 month moving average	t-1
YC	Interest rate spread; long term minus short term rate	Bundesbank	-	t-1
YC-1	Interest rate spread; long term (LR) minus short term rate (SR)	Bundesbank	12 month moving average	t-1

¹t-1 indicates that for forecasts e.g. published in March the February results of the indicator were
included in the study.

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Improving Business Cycle Forecasts’ Accuracy - What Can We Learn from Past Errors?

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