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Inflation Expectations in Turkey: Evidence from Panel Data 土耳其的通胀预期:来自面板数据的证据
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-05-18 DOI: 10.1787/JBCMA-2011-5KGG5K53NP7C
Ece Oral, Hulya Saygili, Mesut Saygili, S. Tuncel
{"title":"Inflation Expectations in Turkey: Evidence from Panel Data","authors":"Ece Oral, Hulya Saygili, Mesut Saygili, S. Tuncel","doi":"10.1787/JBCMA-2011-5KGG5K53NP7C","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KGG5K53NP7C","url":null,"abstract":"We investigated the rationality of financial and real sectors’ CPI inflation expectations in Turkey using the multivariate panel cointegration method. The use of panel techniques strengthened our empirical results by not only increasing sample size but also allowing heterogeneity across groups of respondents. Having found the expectations irrational in the stricter sense, we proceeded to analyze the significance of both past and future inflation rates as determinants of agents’ future inflation forecasts. Both recursive and rolling estimates show that forecasters’ weight on future/target inflation rates versus past actual and expected inflation rates changes over time as unexpected shocks derail inflation from its disinflationary path. Lastly, we find asymmetry in expectations such that the response of inflation expectations to an increase in the inflation rate is twice the size of the response to a decrease in the inflation rate. This may indicate long delays in restoring credibility of central banks after a positive shock on the inflation rate. JEL Classifications: C23, D84, E31 Keywords: Inflation expectations, Inflation formation, Panel cointegration, Recursive regression","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130664163","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
The Forecasting Performance of Composite Leading Indicators: Does Globalisation Matter? 综合领先指标的预测表现:全球化重要吗?
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-05-18 DOI: 10.1787/JBCMA-2011-5KGG5K4ZB49W
Ferdinand Fichtner, R. Rueffer, Bernd Schnatz
{"title":"The Forecasting Performance of Composite Leading Indicators: Does Globalisation Matter?","authors":"Ferdinand Fichtner, R. Rueffer, Bernd Schnatz","doi":"10.1787/JBCMA-2011-5KGG5K4ZB49W","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KGG5K4ZB49W","url":null,"abstract":"Using OECD Composite Leading Indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons of four to eight months ahead. The evidence is particularly strong when taking cointegration relationships into account. At the same time, we find indications that the forecast accuracy has declined over time for several countries. Augmenting the country-specific CLI with a leading indicator of the external environment and employing forecast combination techniques improves the forecast performance for several economies. Over time, the increasing importance of international dependencies is documented by relative performance gains of the extended model for selected countries.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133755886","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
Aggregate Comovements, Anticipation, and Business Cycles 聚合运动、预期和商业周期
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-05-18 DOI: 10.1787/JBCMA-2011-5KGG5K4PLKZS
D. Love
{"title":"Aggregate Comovements, Anticipation, and Business Cycles","authors":"D. Love","doi":"10.1787/JBCMA-2011-5KGG5K4PLKZS","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KGG5K4PLKZS","url":null,"abstract":"This paper shows that negative comovements between major macroeconomic variables at business-cycle frequencies are commonly observed, but that standard Real Business Cycle (RBC) theory fails to predict this feature of the data. We show that allowing for “anticipation effects” in response to “news shocks” enables standard RBC models to predict both the observed patterns of negative comovement and overall positive correlations. Anticipation also improves magnification of shocks in the model without harming predictions for the other second moments central to RBC studies. Anticipation effects improve on standard RBC frameworks by offering an empirically plausible explanation for the nontrivial fraction of time that aggregate variables are observed to comove negatively.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116591405","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
Are Qualitative Inflation Expectations Useful to Predict Inflation 定性通胀预期对预测通胀有用吗
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-05-18 DOI: 10.1787/JBCMA-2011-5KGG5K52XB5C
Rolf Scheufele
{"title":"Are Qualitative Inflation Expectations Useful to Predict Inflation","authors":"Rolf Scheufele","doi":"10.1787/JBCMA-2011-5KGG5K52XB5C","DOIUrl":"https://doi.org/10.1787/JBCMA-2011-5KGG5K52XB5C","url":null,"abstract":"This paper examines the properties of qualitative inflation expectations collected from economic experts for Germany. It describes their characteristics relating to rationality and Granger causality. An out-of-sample simulation study investigates whether this indicator is suitable for inflation forecasting. Results from other standard forecasting models are considered and compared with models employing survey measures. We find that a model using survey expectations outperforms most of the competing models. Moreover, we find some evidence that the survey indicator already contains information from other model types (e.g. Phillips curve models). However, the forecast quality may be further improved by completely taking into account information from some financial indicators.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115501285","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: 22
Forecasting Aggregated Time Series Variables: A Survey 预测聚合时间序列变量:一项调查
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-02-03 DOI: 10.1787/JBCMA-2010-5KM399R2JZ9N
H. Lütkepohl
{"title":"Forecasting Aggregated Time Series Variables: A Survey","authors":"H. Lütkepohl","doi":"10.1787/JBCMA-2010-5KM399R2JZ9N","DOIUrl":"https://doi.org/10.1787/JBCMA-2010-5KM399R2JZ9N","url":null,"abstract":"Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained fi rst and then these forecasts may be aggregated. A number of forecasts are presented and compared. Classical theoretical results on the relative effi ciencies of different forecasts are reviewed and some complications are discussed which invalidate the theoretical results. Contemporaneous as well as temporal aggregation are considered. JEL classifi cation : C22, C32 Key Words : Autoregressive moving-average process, contemporaneous aggregation, temporal aggregation, vector autoregressive moving-average process","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116287417","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: 49
Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru 三种非线性计量经济学方法在秘鲁识别商业周期的应用
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-02-03 DOI: 10.1787/JBCMA-2010-5KM33SFV0XXN
G. Rodríguez
{"title":"Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru","authors":"G. Rodríguez","doi":"10.1787/JBCMA-2010-5KM33SFV0XXN","DOIUrl":"https://doi.org/10.1787/JBCMA-2010-5KM33SFV0XXN","url":null,"abstract":"I use three non-linear econometric models to identify and analyze business cycles in the Peruvian economy for the period 1980:1-2008:4. The models are the Smooth Transition Autoregressive (STAR) model suggested by Terasvirta (1994), the extended version of the MarkovSwitching model proposed by Hamilton (1989), and the plucking model of Friedman (1964, 1993). The results indicate strong rejection of the null hypothesis of linearity. The majority of models identify quarters concentrated around 1988-1989 and 1990-1991 as recession times. Other important events which happened in the Peruvian economy (natural disaster in 1983, effects of the Asian and Russian crises in 1990s, terrorist activities in 1980s) are not selected except as atypical observations. Most of models also identify the period 1995:1-2008:4 as a very long and stable period of moderate-high growth rates. From the perspective of the Peruvian economic history and from a statistical point of view, the MSIAH(3) model is the preferred model.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125132199","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
The Industrial Cycle of Milan as an Accurate Leading Indicator for the Italian Business Cycle 米兰工业周期作为意大利经济周期的准确先行指标
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-02-03 DOI: 10.1787/JBCMA-2010-5KM37FT4ZRNS
M. Pelagatti, V. Negri
{"title":"The Industrial Cycle of Milan as an Accurate Leading Indicator for the Italian Business Cycle","authors":"M. Pelagatti, V. Negri","doi":"10.1787/JBCMA-2010-5KM37FT4ZRNS","DOIUrl":"https://doi.org/10.1787/JBCMA-2010-5KM37FT4ZRNS","url":null,"abstract":"A coincident business cycle indicator for the Milan area is built on the basis of a monthly industrial survey carried out by Assolombarda, the largest territorial entrepreneurial association in Italy. The indicator is extracted from three time series concerning the production level and the domestic and foreign order book as declared by some 250 Assolombarda associates.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115735426","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
An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters 对欧洲央行专业预测者调查中的增长和失业预测的评价
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2011-02-03 DOI: 10.1787/JBCMA-2010-5KM33SG210KK
C. Bowles, R. Friz, V. Genre, G. Kenny, Aidan Meyler, Tuomas Rautanen
{"title":"An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters","authors":"C. Bowles, R. Friz, V. Genre, G. Kenny, Aidan Meyler, Tuomas Rautanen","doi":"10.1787/JBCMA-2010-5KM33SG210KK","DOIUrl":"https://doi.org/10.1787/JBCMA-2010-5KM33SG210KK","url":null,"abstract":"In this paper we provide a comprehensive evaluation of the euro area GDP growth and unemployment rate forecasts collected in the quarterly ECB Survey of Professional Forecasters (SPF) over the period 1999Q1–2008Q4. Our results suggest that while SPF forecasts generally appear to be slightly superior to naive and purely backwardlooking benchmarks, forecast errors nonetheless exhibit a high degree of persistence. In addition, our analysis of the heterogeneity across individual SPF replies suggests that the broad pattern of the individual forecasts is essentially the same as that of the aggregate SPF results. This may refl ect a high degree of commonality in the information available (and not available) to panel members, thus leading them to “get it wrong” (or right) not only in the aggregate, but also individually. In particular, although a small number of forecasters perform substantially above average for some variables and horizons, none does so systematically for all variables and all horizons. Lastly, we have presented and assessed the information about forecast uncertainty provided by the SPF. In line with other studies based on the US SPF, disagreement among panel members does not appear to be a good proxy for overall macroeconomic uncertainty, i.e ., a high degree of consensus is not necessarily an indication of a low level of forecast uncertainty. Our analysis also suggests that, at the individual level, panel members may not fully internalise the overall level of macroeconomic uncertainty. For example, compared with the level of uncertainty indicated by the historical volatility of actual GDP growth and the unemployment rate, the perceptions of individual panel members about uncertainty appear quite low. This possible underestimation of overall uncertainty is much less severe when densities are aggregated across forecasters.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124620423","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: 34
Do benchmark revisions affect the consumption-to-output and investment-to-output ratios in Germany? 基准修正会影响德国的消费产出比和投资产出比吗?
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2010-09-24 DOI: 10.1787/JBCMA-2010-5KMK0BHQQJTF
T. Knetsch, Hans-Eggert Reimers
{"title":"Do benchmark revisions affect the consumption-to-output and investment-to-output ratios in Germany?","authors":"T. Knetsch, Hans-Eggert Reimers","doi":"10.1787/JBCMA-2010-5KMK0BHQQJTF","DOIUrl":"https://doi.org/10.1787/JBCMA-2010-5KMK0BHQQJTF","url":null,"abstract":"The balanced growth and stochastic growth theory implies stable consumption-to-output and investment-to-output ratios. It is tested by cointegration techniques for three different German data vintages. Systems cointegration tests are helpful in revealing inconsistencies across vintages. Differencing and rebasing, often used to adjust for benchmark revisions, are generally not sufficient to ensure consistent real-time macroeconomic data. Vintage transformation functions estimated by cointegrating regressions are more flexible. Empirically, the cointegrating property between consumption and output, as well as between investment and output, is often found, whereas the one-to-one relationship is mostly rejected. Moreover, the linear transformation function is helpful in describing the relation between two older final vintages. This function seems to be insufficient if the most recent data collection framework is involved.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123567266","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
The Dutch business cycle: A finite sample approximation of selected leading indicators 荷兰商业周期:选定领先指标的有限样本近似值
Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2010-05-03 DOI: 10.1787/JBCMA-2009-5KS9ZC0T7RG2
A. D. Reijer
{"title":"The Dutch business cycle: A finite sample approximation of selected leading indicators","authors":"A. D. Reijer","doi":"10.1787/JBCMA-2009-5KS9ZC0T7RG2","DOIUrl":"https://doi.org/10.1787/JBCMA-2009-5KS9ZC0T7RG2","url":null,"abstract":"In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass filtter is employed to isolate the cycle using the definition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The coincident business cycle index is based on industrial production, household consumption and staffing employment. These three variables represent key macroeconomic developments, which are also analysed by both the CEPR and NBER dating committees. The composite leading index consists of eleven indicators representing different sectors in the economy: three financial series, four business and consumer surveys and four real activity variables, of which two supply - and two demand-related. The pseudo real-time performance of the composite indicator is analyzed by the extent to which the indicator gets revised as more data becomes available. Finally, the composite leading indicator is employed in a bivariate Vector Autoregressive model to forecast GDP growth rates.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124500465","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: 4
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