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

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Nowcasting Irish GDP 临近预测爱尔兰GDP
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2013-05-28 DOI: 10.1787/JBCMA-2012-5K92N2PWCCWB
Antonello D’Agostino, K. McQuinn, D. O'Brien
{"title":"Nowcasting Irish GDP","authors":"Antonello D’Agostino, K. McQuinn, D. O'Brien","doi":"10.1787/JBCMA-2012-5K92N2PWCCWB","DOIUrl":"https://doi.org/10.1787/JBCMA-2012-5K92N2PWCCWB","url":null,"abstract":"This paper presents a dynamic factor model that produces nowcasts and backcasts of Irish quarterly GDP using timely data from a panel dataset of 35 indicators. We apply a recently developed methodology, whereby numerous potentially useful indicator series for Irish GDP can be availed of in a parsimonious manner and the unsynchronised nature of the release calendar for a wide range of higher frequency indicators can be handled. The nowcasts in this paper are generated by using dynamic factor analysis to extract common factors from the panel dataset. Bridge equations are then used to relate these factors to quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the results of the nowcasting exercise are compared with those of a standard benchmark model.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116456551","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: 36
Constructing coincident and leading indices of economic activity for the Brazilian economy 构建巴西经济活动的同步和领先指数
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2013-05-28 DOI: 10.1787/JBCMA-2012-5K4841782XNN
J. Issler, H. Notini, Claudia Oliveira da Fontoura Rodrigues
{"title":"Constructing coincident and leading indices of economic activity for the Brazilian economy","authors":"J. Issler, H. Notini, Claudia Oliveira da Fontoura Rodrigues","doi":"10.1787/JBCMA-2012-5K4841782XNN","DOIUrl":"https://doi.org/10.1787/JBCMA-2012-5K4841782XNN","url":null,"abstract":"This paper has three original contributions. The first is the reconstruction effort of the series of employment and income to allow the creation of a new coincident index for the Brazilian economic activity. The second is the construction of a coincident index of the economic activity for Brazil, and from it, (re)establish a chronology of recessions in the recent past of the Brazilian economy. The coincident index follows the methodology proposed by TCB and it covers the period 1980:1 to 2007:11. The third is the construction and evaluation of many leading indicators of economic activity for Brazil which fills an important gap in the Brazilian Business Cycles literature.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131227836","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: 9
Measuring capacity utilisation in the italian manufacturing sector 衡量意大利制造业的产能利用率
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2013-05-28 DOI: 10.1787/JBCMA-2012-5K8ZNWP2NTS8
M. Malgarini, A. Paradiso
{"title":"Measuring capacity utilisation in the italian manufacturing sector","authors":"M. Malgarini, A. Paradiso","doi":"10.1787/JBCMA-2012-5K8ZNWP2NTS8","DOIUrl":"https://doi.org/10.1787/JBCMA-2012-5K8ZNWP2NTS8","url":null,"abstract":"The aim of this paper is to provide an interpretation of the measure of capacity utilisation provided by the European Union harmonised survey on the Italian manufacturing sector. In doing so, we evaluate its ability to correctly track cyclical turning points and its contribution in explaining consumer price index (CPI) inflation. The survey based measure results are a good co-incident indicator of business cycle, however it is generally outperformed by time series models in explaining inflation. We conclude that the standard “output gap” interpretation of the survey results is broadly confirmed by the data, however we cannot rule out at this stage that survey respondents may also consider the alternative “variable capacity utilisation” concept in answering the survey question. Keywords: Capacity utilisation, co-integration, unobserved component models, VAR.JEL Classification: E32, C22, E37","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128422062","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
Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey 衡量金融危机期间的信心和不确定性:来自粮安委调查的证据
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-11-21 DOI: 10.1787/JBCMA-2012-5K976T5XL0F1
H. Entorf, Christian Knoll, L. Sattarova
{"title":"Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey","authors":"H. Entorf, Christian Knoll, L. Sattarova","doi":"10.1787/JBCMA-2012-5K976T5XL0F1","DOIUrl":"https://doi.org/10.1787/JBCMA-2012-5K976T5XL0F1","url":null,"abstract":"The CFS survey covers individual situations of banks and other companies of the financial sector. This provides a rare opportunity to analyse appraisals, expectations and forecast errors of the core sector of the recent financial crisis. Following standard ways of aggregating individual survey data, we first present and introduce the CFS survey by comparing CFS indicators of confidence and predicted confidence to Ifo and ZEW indicators. The major contribution is the analysis of several indicators of uncertainty. In addition to well-established concepts, we introduce innovative measures based on the skewness of forecast errors and on the share of “no response” replies. Results show that uncertainty indicators fit quite well with patterns of real and financial time series of the time period 2007 to 2010. [REPORT]","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114647668","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
On the Change in the Austrian Business Cycle 论奥地利经济周期的变化
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-11-21 DOI: 10.1787/JBCMA-2012-5K9159FNZ8KG
Sandra Bilek-Steindl
{"title":"On the Change in the Austrian Business Cycle","authors":"Sandra Bilek-Steindl","doi":"10.1787/JBCMA-2012-5K9159FNZ8KG","DOIUrl":"https://doi.org/10.1787/JBCMA-2012-5K9159FNZ8KG","url":null,"abstract":"This paper analyses the change in the Austrian business cycle over time using data back to 1954. The change in the cyclical pattern is captured using a non-linear univariate structural time series model where the time of the break point is estimated. Results for GDP series suggest a break in the frequency of the cycle and in the parameter covering the variance of the disturbances of the cycle taking place in the mid 1970s and early 1980s, respectively. Using data for GDP components a break in these variables is found too, but the timing of the break differs among the series. In a further step the paper assesses the relevance of these findings for forecasting purposes. It is shown that during certain periods the out-of-sample forecasting performance of GDP does improve when a break in one of the two parameters is explicitly modelled.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115720795","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
Euro area business cycles 欧元区商业周期
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-11-21 DOI: 10.1787/JBCMA-2012-5K98XGF7DNWK
A. Seymen
{"title":"Euro area business cycles","authors":"A. Seymen","doi":"10.1787/JBCMA-2012-5K98XGF7DNWK","DOIUrl":"https://doi.org/10.1787/JBCMA-2012-5K98XGF7DNWK","url":null,"abstract":"The role of global, euro area and country-specific shocks in business cycle dynamics of six euro area member countries is assessed with the aid of SVAR models. Output fluctuations are driven by global shocks to a large extent in the euro area, and no Europeanisation of business cycles due to, for example the European Monetary Union, could be established. Business cycle heterogeneity is driven mainly by (asymmetric) country-specific shocks in the euro area and not by heterogeneous responses to common, particularly global, shocks. The cyclical disparity across the member economies is found to be small relative to the size of business cycles. JEL classification: E32, C32, F00 Keywords: European Monetary Union, international business cycles, common and country-specific shocks, structural vector autoregression","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116422002","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
A Cyclical Analysis of Economic Activity in Serbia 塞尔维亚经济活动的周期性分析
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-01-05 DOI: 10.1787/JBCMA-2011-5KG0NVZLTM48
J. Radović-Stojanović
{"title":"A Cyclical Analysis of Economic Activity in Serbia","authors":"J. Radović-Stojanović","doi":"10.1787/JBCMA-2011-5KG0NVZLTM48","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KG0NVZLTM48","url":null,"abstract":"The paper presents the results of the first application of cyclical analysis to economic activity in Serbia. The analysis refers to the period 2001-07, which marked the start of democratic and economic reforms, since short term fluctuations in economic activity prior to 2001 were the result of various exogenous shocks like hyperinflation, wars and international economic sanctions. In the post-reform period, the Serbian economy exhibits characteristics of a small, open, marketoriented economy. Economic activity shows an upward trend, and with special regard to growth dynamics and their cyclical properties, cyclical analysis is relevant. In analysing cyclical fluctuations in economic activity, a deviation-from-trend approach is applied. For dating turning points in economic activity, the monthly gross domestic product (GDP) is used since the coincident properties of the index of industrial production could not be statistically verified for Serbia as there were a small number of quarterly observations available for GDP.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123962741","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: 2
Energy Prices and Business Cycles: Lessons from a Simulated Small Open Economy Model 能源价格和商业周期:来自模拟小型开放经济模型的经验教训
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-01-05 DOI: 10.1787/JBCMA-2011-5KG0NVZMGFD5
Torsten Schmidt, Tobias W. Zimmermann
{"title":"Energy Prices and Business Cycles: Lessons from a Simulated Small Open Economy Model","authors":"Torsten Schmidt, Tobias W. Zimmermann","doi":"10.1787/JBCMA-2011-5KG0NVZMGFD5","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KG0NVZMGFD5","url":null,"abstract":"Despite energy price hikes in recent years, growth rates turned out to be high in most industrialised countries. This pattern starkly contrasts the adverse effects that energy price shocks exerted on growth in the 1970s and 1980s. This study investigates whether a reduction in the energy cost share or different sources of energy price hikes are responsible for this divergence. By adding an exogenous twovariable VAR to a new open economy model for Germany, both energy prices and global economic activity are specified to be independent from domestic variables but assumed to influence each other. We show that it is sensible to calibrate the model in accordance with long-run fluctuations in important, observable, structural parameters and VAR coefficients on a period by period basis. Increases in energy prices and in global output serve as supply side and demand side shocks respectively. Our results suggest that the effects of recent energy price hikes have been different from past experiences because they were demand driven. Therefore, supply driven energy price increases could still be an important source of business cycle fluctuations. JEL Classifications: E31, E32, F41 Keywords: Oil prices, new Keynesian open economy model","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114595589","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
A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators 基于Hodrick-Prescott滤波器和OECD综合领先指标体系的带通滤波器注释
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-01-05 DOI: 10.1787/JBCMA-2011-5KG0PB01SBBT
H. Yamada
{"title":"A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators","authors":"H. Yamada","doi":"10.1787/JBCMA-2011-5KG0PB01SBBT","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KG0PB01SBBT","url":null,"abstract":"The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPband-pass filter. This note examines whether the application of these two alternative HPband-pass filters in the calculations of the OECD’s CLIs lead to negligible differences. JEL Classification: E32; C22 Keywords: Hodrick-Prescott band-pass filter; Composite leading indicators.© beawolf - Fotolia.com","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122143422","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: 55
Are the New Member States Converging on the Euro Area?: A Business Cycle Analysis for Economies in Transition 新成员国正在向欧元区靠拢吗?转型经济体的商业周期分析
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-01-05 DOI: 10.1787/JBCMA-2011-5KG0NVZLQKF0
A. Hallett, Christian R. Richter
{"title":"Are the New Member States Converging on the Euro Area?: A Business Cycle Analysis for Economies in Transition","authors":"A. Hallett, Christian R. Richter","doi":"10.1787/JBCMA-2011-5KG0NVZLQKF0","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KG0NVZLQKF0","url":null,"abstract":"The Optimal Currency Area theory stresses the importance of co-movement of the business cycles of member states in order for the common currency to be successful. Yet, the identification of (European) business cycles has been inconclusive and is complicated by the enlargement to the new member states in 2004 and their transition to market economies. In this paper, we show how to decompose a business cycle into a time-frequency framework in a way that allows us to compare the growth rate spectra and coherences for the Hungarian, Polish, Czech, German and French economies. We find that, since joining the EU, there has been convergence on the euro area economy at short cycle lengths, but little convergence in long cycles. We argue that this shows evidence of nominal convergence, but little real convergence. The standard Maastricht convergence criteria for membership of the euro therefore need to be adapted to test for real convergence. JEL Classification: C22, C29, C49, F43, O49 Keywords: Time-Frequency Analysis, Coherence, Growth Rates, Business Cycles","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129688897","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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