Abstract
This chapter is devoted to the study of the German business cycle. In the tradition of Burns and Mitchell, it considers its classical form, which is represented by fluctuations in the series of the real Gross Domestic Product. After a methodological introduction, the chapter presents the main features of the German business cycle after dating it. Then it develops a probit model in order to predict recessions for the totality of the analyzed period. Finally, the chapter delivers a forecasting in real time for the most recent economic period.
This chapter has received significant contributions from Reynald Majetti.
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Annex 1: The Sequential Reduction Procedure
Annex 1: The Sequential Reduction Procedure
Variables | Models | ||
|---|---|---|---|
(1) | (2) | (3) | |
Constant | −0.437 (0.425) | −0.384 (0.425) | −0.383 (0.424) |
R t−1 | 1.662*** (0.320) | 1.783*** (0.318) | 1.913*** (0.311) |
M1 t−3 | −23.315** (10.994) | −26.053** (0.264) | −30.823*** (10.968) |
SPREAD t−4 | −0.170* (0.090) | −0.181** (0.092) | |
SPI t−1 | −1.410 (1.156) | ||
ln L | −43.731 | −44.469 | −46.187 |
Pseudo R 2 (%) | 45.545 | 44.637 | 42.527 |
Correct previsions (%) | 89 | 89 | 89 |
Correct recessions (%) | 65.6 | 62.5 | 68.75 |
RMSE | 0.2807 | 0.2854 | 0.2922 |
BIC | 112.961 | 109.337 | 107.673 |
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Aimar, T., Bismans, F., Diebolt, C. (2016). Forecasting. In: Business Cycles in the Run of History. SpringerBriefs in Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-24325-2_5
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DOI: https://doi.org/10.1007/978-3-319-24325-2_5
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