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Oecd Journal: Journal of Business Cycle Measurement and Analysis最新文献

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Frequency based co-movement of inflation in selected euro area countries 在选定的欧元区国家通货膨胀的频率为基础的共同运动
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2016-06-24 DOI: 10.1787/JBCMA-2015-5JM26TTLXDD1
A. Tiwari, Niyati Bhanja, A. B. Dar
{"title":"Frequency based co-movement of inflation in selected euro area countries","authors":"A. Tiwari, Niyati Bhanja, A. B. Dar","doi":"10.1787/JBCMA-2015-5JM26TTLXDD1","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JM26TTLXDD1","url":null,"abstract":"This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy.Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124835350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
The Swedish business cycle, 1969-2013 瑞典商业周期，1969-2013
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2016-06-24 DOI: 10.1787/JBCMA-2015-5JLZ9HHPJ4TH
Louise Holm
{"title":"The Swedish business cycle, 1969-2013","authors":"Louise Holm","doi":"10.1787/JBCMA-2015-5JLZ9HHPJ4TH","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JLZ9HHPJ4TH","url":null,"abstract":"The aim of this paper is to apply a non-stationary, non-parametric method to date the Swedish business cycle where no official dating method exists, defined as the common dynamic of some macroeconomic time series. The method draws on a paper where the business cycle for the euro area by Holm (2011) was found and the method worked well and closely matched the dates found by the Centre for Economic Policy Research, CEPR. In this paper five recessions were found for Sweden in the 1969-2013 period. Keywords: Business cycle, non-parametric smoothing, non-stationarity JEL: C14, C32, E32","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128627424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Reverse-engineering the business cycle with Petri nets 用Petri网对商业周期进行逆向工程
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2016-06-24 DOI: 10.1787/jbcma-2015-5jlz9hhp8fns
J. B. Linn
{"title":"Reverse-engineering the business cycle with Petri nets","authors":"J. B. Linn","doi":"10.1787/jbcma-2015-5jlz9hhp8fns","DOIUrl":"https://doi.org/10.1787/jbcma-2015-5jlz9hhp8fns","url":null,"abstract":"Petri nets are used to extract information from the complex and negative eigenvalues of a von Neumann model employing the US sector-level use tables from 1997 to 2013. The complex eigenvalues show a cyclical component having a period of about 10 years. Sectors that contribute most to the cyclical component are agriculture, mining, retail trade, construction, and utilities. Negative eigenvalues indicate the instability in the economy from 1997 to 2009. In 2010 a Neimark-Sacker bifurcation boundary is crossed, beyond which the economy exhibits damping. The point of critical damping is approached in 2012. In 2013 the economy exhibits over-damping. Keywords: Petri net, von Neumann growth model, Leontief model, eigenvalue, business cycle, use table, Neimark-Sacker bifurcation, over-damping JEL classification: C65, C67, E32","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121248463","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics: report 周期相位动力学的经济指标分析与马尔可夫转换方法之比较
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2016-06-24 DOI: 10.1787/JBCMA-2015-5JM22PFHMHLP
Pami Dua, Vineeta D. Sharma
{"title":"A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics: report","authors":"Pami Dua, Vineeta D. Sharma","doi":"10.1787/JBCMA-2015-5JM22PFHMHLP","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JM22PFHMHLP","url":null,"abstract":"This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121633267","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Construction of composite business cycle indicators in a scarce data environment: A case study for Abu Dhabi 稀缺数据环境下复合经济周期指标的构建:以阿布扎比为例
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-10-30 DOI: 10.1787/JBCMA-2015-5JRTFL9554BT
Klaus Abberger, Wolfgang Nierhaus
{"title":"Construction of composite business cycle indicators in a scarce data environment: A case study for Abu Dhabi","authors":"Klaus Abberger, Wolfgang Nierhaus","doi":"10.1787/JBCMA-2015-5JRTFL9554BT","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JRTFL9554BT","url":null,"abstract":"Business cycle indicators are important instruments for monitoring economic development. When employing indicators one usually relies on a sound statistical database. This paper deals with indicator development in a sparse data situation. Indicator building is merged with temporal disaggregation, which is often used by statistical offices. The discussed tools are applied in a case study for Abu Dhabi. Because the economy of Abu Dhabi is very dependent on oil, real income reflects the economic situation better than real gross domestic product (GDP). For this reason a measure of real gross domestic income (GDI) was chosen as reference series.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123936326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Business cycle dynamics: A bottom-up approach with Markov-chain measurement 商业周期动力学:使用马尔可夫链测量的自底向上方法
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-10-30 DOI: 10.1787/JBCMA-2015-5JRS0LV6XS7B
Christian Müller, Eva M. Köberl
{"title":"Business cycle dynamics: A bottom-up approach with Markov-chain measurement","authors":"Christian Müller, Eva M. Köberl","doi":"10.1787/JBCMA-2015-5JRS0LV6XS7B","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JRS0LV6XS7B","url":null,"abstract":"Business cycle dynamics can be seen as footprints left by individual decision makers. Tracing those footprints we offer a novel, largely model independent and exogenous measure of the business cycle dynamics. This measure also, allows for distinguishing positive and negative shocks without prior estimation. Utilizing more than twentythousand observations of firms surveyed quarterly in the periods (1999-2006), we employ a Markov-chain approach combined with conventional time series econometrics for gauging the dynamics of business cycles. Since we start the analysis with firm level data we label our method the “bottom-up approach”.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134389545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The world and “The world business cycle chronology” 世界与“世界经济周期年表”
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-10-30 DOI: 10.1787/JBCMA-2015-5JRTFL953JXP
A. Layton, A. Banerji, Lakshman Achuthan
{"title":"The world and “The world business cycle chronology”","authors":"A. Layton, A. Banerji, Lakshman Achuthan","doi":"10.1787/JBCMA-2015-5JRTFL953JXP","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JRTFL953JXP","url":null,"abstract":"Twenty-one individual country business cycle chronologies, maintained and updated by the Economic Cycle Research Institute (ECRI), are analysed for their degree of synchronisation with a proposed “world business cycle chronology”. Several key results emerge. First, perhaps not surprisingly, the world’s four 20th Century locomotor economies of the US, UK, Germany and Japan are statistically significantly and reasonably strongly positively synchronised with the world cycle. Second, European countries in the sample are either positively synchronised with the world cycle at zero lag or with a lag of around three months. Third, the NAFTA countries (US, Canada and Mexico) are, perhaps again not unexpectedly, quite strongly positively synchronised with the world cycle at zero lag and with each other. Fourth, the single South American country included in the sample, Brazil, is strongly positively synchronised with the world cycle at zero lag as well as with the NAFTA countries – but behaves very differently from China and India with respect to the world cycle. Fifth, interestingly, the newly industrialized East Asian countries included in the sample appear to lead the world cycle by about three to nine months. Finally, and very interestingly, there appears to be some a priori evidence of a long leading negative synchronisation between the commodity exporting countries in the sample and the world cycle. Key words: world business cycle, synchronisation JEL classification: E32, E37","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134165694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Cohesion within the euro area and the US: A wavelet-based view 欧元区和美国内部的凝聚力:基于小波的观点
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-09-07 DOI: 10.1787/JBCMA-2014-5JS1J15792ZP
A. Rúa, A. Lopes
{"title":"Cohesion within the euro area and the US: A wavelet-based view","authors":"A. Rúa, A. Lopes","doi":"10.1787/JBCMA-2014-5JS1J15792ZP","DOIUrl":"https://doi.org/10.1787/JBCMA-2014-5JS1J15792ZP","url":null,"abstract":"The analysis of synchronisation of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronisation to assess cohesion across countries or regions by resorting to wavelet analysis. This wavelet-based measure of cohesion allows one to study how synchronisation has evolved over time and across frequencies simultaneously. In particular, we investigate the cohesion among euro area countries and within the US, both at the regional and state levels, over the last decades. In addition, an analysis at the sectoral level is also conducted. The results obtained unveil a noteworthy heterogeneity and highlight the usefulness of a wavelet-based measure of cohesion.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122847568","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
What's behind the survey values?: An analysis of individual forecasters' behaviour 调查值的背后是什么?:对个别预测者行为的分析
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-09-07 DOI: 10.1787/JBCMA-2014-5JRXQBWCKBZV
Maritta Paloviita, M. Virén
{"title":"What's behind the survey values?: An analysis of individual forecasters' behaviour","authors":"Maritta Paloviita, M. Virén","doi":"10.1787/JBCMA-2014-5JRXQBWCKBZV","DOIUrl":"https://doi.org/10.1787/JBCMA-2014-5JRXQBWCKBZV","url":null,"abstract":"This paper studies the internal consistency of professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison we also study the Consensus Economics survey and Survey of Professional Forecasts for the US. Forecast uncertainty is explored using two alternative measures, the conventional standard deviation of individual point forecasts and the mean uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters’ price and real GDP expectations are positively related, but that forecasters deviate systematically from each other. We also find clear evidence that individual forecasters form expectations according to the hybrid specification of the New Keynesian Phillips curve. On a micro level, inflation uncertainty seems to be closely related to output uncertainty. However, the relationship between alternative measures of uncertainty is relatively weak.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123460992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
On the robustness of balance statistics with respect to nonresponse 关于平衡统计对无响应的稳健性
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-09-07 DOI: 10.1787/JBCMA-2014-5JRXQBWCJDR3
C. Seiler
{"title":"On the robustness of balance statistics with respect to nonresponse","authors":"C. Seiler","doi":"10.1787/JBCMA-2014-5JRXQBWCJDR3","DOIUrl":"https://doi.org/10.1787/JBCMA-2014-5JRXQBWCJDR3","url":null,"abstract":"A general problem for survey conductors is the fact that the response decision can be connected to the intended answer of the non-respondents. This nonresponse bias might have a substantial effect on the aggregated results. In this paper, a participation framework for the widely used business cycle balance statistics indicators is examined. An extensive simulation study is performed to analyse their effects. The analyses show that these indicators are extremely stable towards nonresponse biases.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115298358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
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