New Composite Leading Indicators for Hungary and Poland

Harm Bandholz

27 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Unemployment and Economic Growth

Abstract

This paper presents new composite leading indicators for the two largest of the EU accession countries, Poland and Hungary. Using linear and non-linear dynamic factor models we find for both countries that a parsimonious specification, which combines national business cycle indicators,series reflecting trade volumes and supranational business expectations makes for the most reliable business cycle leaders. The composite leading indicators significantly Granger-cause GDP growth rates, while the estimated Markov-switching probabilities of being in a recessionarystate agree well with a priori determined cycle chronologies.

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References

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