Predictive Power of the ZEW Sentiment Indicator: Case of the German Automotive Industry

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F18%3A63521099" target="_blank" >RIV/70883521:28120/18:63521099 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.12700/APH.15.4.2018.4.9" target="_blank" >http://dx.doi.org/10.12700/APH.15.4.2018.4.9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.12700/APH.15.4.2018.4.9" target="_blank" >10.12700/APH.15.4.2018.4.9</a>

Result language
angličtina
Original language name
Predictive Power of the ZEW Sentiment Indicator: Case of the German Automotive Industry
Original language description
This paper presents an analysis of German automotive industry and its connection to the market sentiment indicator ZEW. The analysis spans a period of the last decade and is divided into Pre-Crisis, Crisis and Post-Crisis periods. Research questions related to the predictive power of ZEW indicator on macro level indicators (composite DAX and GDP), sector indicator (technology-oriented companies TecDAX) and a selected automotive manufacturer (BMW) were answered. We found that ZEW index had foreseen the economic crisis starting in the March 2008 three months ahead of its start, but failed to see an upcoming economic recovery. We fit two models to estimate whether ZEW index can be used as a standalone forecasting instrument or whether inclusion of lagged values of other variables improves forecasting ability. We conclude that predictions from the ZEW-only models are worse in the test sample than those of the more complex model. We provide further evidence in form cross-correlations and causality analysis in the Granger sense. The study concludes with Impulse Response Function analysis. This analysis found that reaction of TecDAX on change of ZEW is strongest amongst studied variables.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50204 - Business and management

Project
<a href="/en/project/GA16-25536S" target="_blank" >GA16-25536S: Methodology of Developing a Predictive Model of Sector and Company Performance in the Macroeconomic Context</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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