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

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Tracking economic activity in the euro area: Multivariate direct filter approach 追踪欧元区经济活动:多元直接过滤方法
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2015-09-07 DOI: 10.1787/jbcma-2014-5js0bcts1433
Ginters Bušs
{"title":"Tracking economic activity in the euro area: Multivariate direct filter approach","authors":"Ginters Bušs","doi":"10.1787/jbcma-2014-5js0bcts1433","DOIUrl":"https://doi.org/10.1787/jbcma-2014-5js0bcts1433","url":null,"abstract":"The paper applies the multivariate direct filter approach on selected business and consumer confidence indicators, and share price data to construct a real-time indicator tracking the medium-to-long-run component of the quarterly growth of the euro area gross domestic product. Results show that the created indicator behaves similarly to another established indicator, Eurocoin, but slightly leads it after mid 2009. The new indicator is also compared to the Markit Euro Area Composite Purchasing Managers Index and is found to be leading it by about one month as well as being smoother. Overall, the multivariate direct filter approach is found to have merit in tracking business cycle developments, however, the increasing number of free coefficients is an issue for the filter to be applied to detailed datasets. Keywords: real-time signal extraction, business cycles, multivariate time series JEL classification: C13, C32, E32","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":"114015133","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
Identifying Leading Indicators of Real Activity and Inflation for Turkey, 1988-2010: A Pseudo Out-of-Sample Forecasting Approach 确定1988-2010年土耳其实际经济活动和通货膨胀的领先指标:伪样本外预测方法
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2014-11-13 DOI: 10.1787/JBCMA-2013-5K4221J86N8V
Sumru Altug, Erhan Uluceviz
{"title":"Identifying Leading Indicators of Real Activity and Inflation for Turkey, 1988-2010: A Pseudo Out-of-Sample Forecasting Approach","authors":"Sumru Altug, Erhan Uluceviz","doi":"10.1787/JBCMA-2013-5K4221J86N8V","DOIUrl":"https://doi.org/10.1787/JBCMA-2013-5K4221J86N8V","url":null,"abstract":"This paper develops a set of leading indicators for industrial production growth and changes in consumer price inflation by accounting for changes in the policy regime that have occurred for the Turkish economy over the sample period 1988-2010. The choice of indicators is based on a pseudo out-of-sample forecasting exercise that is implemented by Leigh and Rossi (2002), and Stock and Watson (2003), amongst others. Our findings provide evidence on the factors determining changes in real activity and inflation over an extended sample period that encompasses episodes of volatile inflation and output growth as well as the recent experience of disinflation and normalisation for the Turkish economy. Keywords: Real activity, inflation, leading indicators, out-of-sample forecasting, combination forecasts, inflation targeting, Turkey. JEL classification: E1, E32, E37, E58, F43, O52","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122312004","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
Dating business cycle turning points: The Greek economy during 1970-2012 and the recent recession 确定商业周期转折点:1970-2012年的希腊经济和最近的衰退
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2014-11-13 DOI: 10.1787/JBCMA-2014-5JZ0SR0PNHS8
Ekaterini Tsouma
{"title":"Dating business cycle turning points: The Greek economy during 1970-2012 and the recent recession","authors":"Ekaterini Tsouma","doi":"10.1787/JBCMA-2014-5JZ0SR0PNHS8","DOIUrl":"https://doi.org/10.1787/JBCMA-2014-5JZ0SR0PNHS8","url":null,"abstract":"This paper establishes a reference chronology for the Greek business cycle from early 1970 to late 2012, against the backdrop of the late 2000s global recession and the most recent domestic economic developments, which once again stress the significance of dating business cycle turning points. The derivation of the exact dates of switches between expansions and recessions allows the identification of the point in time at which the Greek economy entered the recent recessionary business cycle regime in the late 2000s and the verification of the assertion that, up to the end of 2012, it had not yet exited the recession. We rely on both non-parametric and parametric procedures in order to check the coherence among the obtained turning points and evaluate the establishment of a reference chronology. We use quarterly GDP data and selected monthly indicators covering important sectors and activities in the Greek economy. On the basis of the obtained exact turning point dates and the indications provided by several business cycle and phases characteristics, we are able to propose a reference chronology for Greece and outline stylised facts of the Greek business cycle for a time period of over 40 years. Our findings clearly suggest that the Greek economy entered a recessionary business cycle regime in 2008 which was continued throughout 2012.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131213600","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: 6
Russian cyclical indicators and their usefulness in real time. (Report): An experience of the 2008-09 recession 俄罗斯的周期性指标及其实时的实用性。(报告):2008-09年经济衰退的经历
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2014-11-13 DOI: 10.1787/JBCMA-2014-5JXX568WCFHD
S. Smirnov
{"title":"Russian cyclical indicators and their usefulness in real time. (Report): An experience of the 2008-09 recession","authors":"S. Smirnov","doi":"10.1787/JBCMA-2014-5JXX568WCFHD","DOIUrl":"https://doi.org/10.1787/JBCMA-2014-5JXX568WCFHD","url":null,"abstract":"This report investigates the predictability of cyclical turning points in Russia. For years, anyone interested in Russia had access to a full set of common tools for business cycle analysis, such as several composite leading indicators, a purchasing managers’ index, enterprise and consumer sentiment indexes, and so on. However, the 2008-09 world financial crisis spread throughout Russia quite unexpectedly for most politicians, businessmen and experts alike. Is it possible that none of existing indexes were able to say anything about the approaching decline? Using a simple “rule of thumb” proposed in this report one may easily see that that in reality this was not the case. So then why did a more or less definite forecast provided by some indexes have no consequences for common economic sentiments in Russia? This report gives some answers to this question. Keywords: recession; growth cycles; cyclical indicators; leading indicators; turning points; Russia JEL classification: E32","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125952332","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
Making leading indicators more leading 使领先指标更具领先性
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2014-11-13 DOI: 10.1787/JBCMA-2014-5JXX56GQMHF1
M. Gallegati
{"title":"Making leading indicators more leading","authors":"M. Gallegati","doi":"10.1787/JBCMA-2014-5JXX56GQMHF1","DOIUrl":"https://doi.org/10.1787/JBCMA-2014-5JXX56GQMHF1","url":null,"abstract":"This paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyse the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based index which combines several scale-based subindexes is constructed by using a scale-by-scale selection of the components included in the OECD composite leading indicator (CLI) for the US. The comparison with the CLI and its derived measures indicate that the wavelet-based composite index tends to provide early signals of business cycle turning points well in advance of the OECD CLI. Moreover we find that the reliability of the signals tends to increase considerably when the sub-index obtained from the time scale components corresponding to minor cycles, that is, 2-4 years, is removed from the overall wavelet-based index.\u0000Keywords: wavelets; composite leading indicators; early warning signals\u0000JEL classification: C1; C3; C5; E3","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117311033","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
Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland 商业趋势调查有助于预测就业吗?:瑞士的实时证据
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2014-06-11 DOI: 10.1787/JBCMA-2013-5K4BXLXJKD32
Boriss Siliverstovs
{"title":"Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland","authors":"Boriss Siliverstovs","doi":"10.1787/JBCMA-2013-5K4BXLXJKD32","DOIUrl":"https://doi.org/10.1787/JBCMA-2013-5K4BXLXJKD32","url":null,"abstract":"This study investigates the usefulness of business tendency surveys collected at the KOF Swiss Economic Institute and aggregated in the form of the KOF Employment Indicator for short-term forecasting of employment in Switzerland. We use a real-time dataset in order to simulate the actual predictive process using only information that was available at the time when predictions were made. We evaluate the predictive content of the KOF Employment Indicator both for nowcasts that are published two months before the first official release, and for one-quarter ahead forecasts published five months before the first official release. We find that inclusion of the KOF Employment Indicator leads to a substantial improvement in prediction accuracy of both point and density forecasts compared to the performance of a benchmark autoregressive model.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128663665","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: 11
Short-term forecasting of French GDP growth using dynamic factor models 动态因子模型对法国GDP增长的短期预测
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2014-06-01 DOI: 10.1787/JBCMA-2013-5JZ742L0PT8S
Marie Bessec, Catherine Doz
{"title":"Short-term forecasting of French GDP growth using dynamic factor models","authors":"Marie Bessec, Catherine Doz","doi":"10.1787/JBCMA-2013-5JZ742L0PT8S","DOIUrl":"https://doi.org/10.1787/JBCMA-2013-5JZ742L0PT8S","url":null,"abstract":"In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set of around one hundred variables including survey balances and real, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start of the quarter. We also show that the inclusion of international and financial variables can improve forecasts at the longest horizons.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120833109","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
Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data 从经济活动月度指标中提取GDP信号:来自智利实时数据的证据
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2013-07-19 DOI: 10.1787/JBCMA-2013-5K48345B3LKC
M. Pedersen
{"title":"Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data","authors":"M. Pedersen","doi":"10.1787/JBCMA-2013-5K48345B3LKC","DOIUrl":"https://doi.org/10.1787/JBCMA-2013-5K48345B3LKC","url":null,"abstract":"Real-time data are analysed for information on the Chilean monthly economic activity indicator IMACEC and what it indicates of the final GDP, defined as the growth rate that has been subject to at least two annual revisions. Data are presented and revisions analysed briefly. Mincer-Zarnowitz tests suggest that forecast rationality is rejected with respect to the three-month IMACEC growth rate as a nowcast of the first released quarterly GDP, as well as the first published GDP as a nowcast of the final GDP. An out-of-sample nowcasting analysis was conducted using only data which were available in real-time. The results show that small models nowcast better than less parsimonious ones. The evidence from the empirical study suggests no improvement in the nowcasting performance when historical data are supplemented with the first monthly IMACEC of the quarter. On the other hand, when two monthly observations IMACEC are available, the root mean squared nowcast error (RMSNE) decreases by 24%, and a further decline of 33% is obtained when the third monthly observation of the quarter is published. Both of these advances are statistically significant. No further improvement is obtained with the publication of the first release of the quarterly GDP. JEL classifications: C89, E17 Keywords: Real-time data, data revisions, nowcasting","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124238345","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: 15
Business cycle synchronisation in the European Union: The effect of the common currency 欧盟商业周期同步:共同货币的影响
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2013-07-19 DOI: 10.1787/JBCMA-2013-5K43JT540LZS
Periklis Gogas
{"title":"Business cycle synchronisation in the European Union: The effect of the common currency","authors":"Periklis Gogas","doi":"10.1787/JBCMA-2013-5K43JT540LZS","DOIUrl":"https://doi.org/10.1787/JBCMA-2013-5K43JT540LZS","url":null,"abstract":"In this paper, I analyse the synchronisation of business cycles within the European Union (EU), as this is an important ingredient for the implementation of a successful monetary policy. The business cycles of twelve EU countries and two sub-groups of countries are extracted for the period 1989Q1-2010Q2. The cycle of G3, the group of the three largest European economies (Germany, France and Italy) is then used as a benchmark series for the comparisons. The sensitivity of the data to alternative cycle extraction methodologies is explored employing the Hodrick-Prescott and Baxter-King filters using alternative parameter specifications and leads/lags. The strength of cycle synchronisation is measured using linear regressions, crosscorrelation coefficients and the Cycle Synchronisation Index (CSI). To assess whether synchronisation is stronger after the introduction of the common currency, we also test two sub-samples pre- and post-EMU (1999Q1). The empirical results provide evidence that cycle synchronisation within the euro area has become stronger in the common currency period.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134604822","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: 20
A note on the cyclical behaviour of the income distribution 关于收入分配周期性行为的说明
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2013-07-19 DOI: 10.1787/JBCMA-2013-5K483456BLBR
B. Heer
{"title":"A note on the cyclical behaviour of the income distribution","authors":"B. Heer","doi":"10.1787/JBCMA-2013-5K483456BLBR","DOIUrl":"https://doi.org/10.1787/JBCMA-2013-5K483456BLBR","url":null,"abstract":"Empirically, the income share is procyclical for the low-income groups and acyclical for the top 5%. To generate this kind of behaviour in a DGE business cycle model, we consider overlapping generations and elastic labour supply in addition to those elements considered by Castaneda et al. (1998). We also analyse a model with rigid wages. However, these features do not help to constitute a major improvement vis-a-vis their model. JEL classification: C68, D31, E32 Keywords: Income distribution, business cycle, overlapping generations, unemployment, pensions","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124211852","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
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