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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50204 - Business and management

Projekt

<a href="/cs/project/GA16-25536S" target="_blank" >GA16-25536S: Metodika tvorby modelu predikce sektorové a podnikové výkonnosti v makroekonomických souvislostech</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Polytechnica Hungarica

ISSN

1785-8860

e-ISSN

—

Svazek periodika

15

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

HU - Maďarsko

Počet stran výsledku

15

Strana od-do

161-178

Kód UT WoS článku

000442389300009

EID výsledku v databázi Scopus

2-s2.0-85052659266