Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set

Q3 Economics, Econometrics and Finance

Journal of Business Cycle Research Pub Date : 2016-09-16 DOI:10.2139/ssrn.2839879

Yongchen Zhao

引用次数: 3

Abstract

This paper considers the usefulness of diffusion indexes in identifying and predicting business cycle turning points in real time using a large data set from March 2005 to September 2014. We construct a monthly diffusion index, compare several smoothing and signal extraction methods, and evaluate predictions based on our index. We document the performance of diffusion-index-based forecasts and compare it against the performance of dynamic-factor-model-based forecasts. Our findings suggest that diffusion indexes remain relevant and effective in identifying turning points. In addition, we show that a diffusion index could outperform a dynamic factor model in identifying the onset of the 2008 recession in real time.

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基于大数据集的实时扩散指数预测美国商业周期转折点

本文利用2005年3月至2014年9月的大数据集，考虑了扩散指数在识别和预测经济周期转折点的实时有效性。我们构建了一个月扩散指数，比较了几种平滑和信号提取方法，并基于我们的指数评估预测。我们记录了基于扩散指数的预测的性能，并将其与基于动态因子模型的预测的性能进行了比较。我们的研究结果表明，扩散指数在识别转折点方面仍然是相关和有效的。此外，我们还表明，在实时识别2008年经济衰退的开始时，扩散指数可以优于动态因子模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Business Cycle Research Economics, Econometrics and Finance-Finance

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： The Journal of Business Cycle Research promotes the exchange of knowledge and information on theoretical and empirical aspects of economic fluctuations. The range of topics encompasses the methods, analysis, measurement, modeling, monitoring, or forecasting of cyclical fluctuations including but not limited to: business cycles, financial cycles, credit cycles, price fluctuations, sectoral cycles, regional business cycles, international business cycles, the coordination and interaction of cycles, their implications for macroeconomic policy coordination, fiscal federalism and optimal currency areas, or the conduct of monetary policy; as well as statistical approaches to the development of short-term economic statistics and indicators; business tendency, investment, and consumer surveys; use of survey data or cyclical indicators for business cycle analysis. The journal targets both theoretical and applied economists and econometricians in academic research on economic fluctuations, as well as researchers in central banks and other institutions engaged in economic forecasting and empirical modeling. The Journal of Business Cycle Research is the successor to the OECD Journal: Journal of Business Cycle Measurement and Analysis which was published by the OECD and CIRET from 2004 to 2015. Cited as: J Bus Cycle Res