Oecd Journal: Journal of Business Cycle Measurement and Analysis最新文献_第5页

Constructing a Markov-switching turning point index using mixed frequencies with an application to French business survey data 利用混合频率构造马尔可夫切换拐点指数，并应用于法国商业调查数据

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2010-05-03 DOI: 10.1787/JBCMA-2009-5KS9V49Q3SWC

J. Bardaji, L. Clavel, F. Tallet

{"title":"Constructing a Markov-switching turning point index using mixed frequencies with an application to French business survey data","authors":"J. Bardaji, L. Clavel, F. Tallet","doi":"10.1787/JBCMA-2009-5KS9V49Q3SWC","DOIUrl":"https://doi.org/10.1787/JBCMA-2009-5KS9V49Q3SWC","url":null,"abstract":"This paper proposes an indicator for detecting business cycles turning points incorporating mixed frequency business survey data. It is based on a hidden Markow-Switching model and allows for the detection of regime changes in a given economy where information is displayed monthly, bimonthly and quarterly. Adapting existing indicators such as Hamilton (1989) and Gregoir and Lenglart (2000) to this frequency mix constitutes the main contribution of the present work. The proposed methodology is applied to the French economy. Using balances from different business surveys, this indicator measures the probability of being in an accelerating or a decelerating phase. The indicator is compared over the past with a reference dating established upon the business cycle component of GDP e xtracted by a Christiano-Fitzerald filter. It exhibits quite clearly and timely regimes changes of the French outlook. In this case the mixed frequency methodology adapted from Gregoir and Lengart yields better performance than the Hamilton-based indicator. Considering the adequacy with the reference dating over the past, the French turning point index (TPI) provdies an accurate signal on the current outlook.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":"2009 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130247029","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

Measurement error in estimating inflation expectations from survey data: An evaluation by Monte Carlo simulations 从调查数据估计通货膨胀预期的测量误差:蒙特卡罗模拟的评估

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2010-05-03 DOI: 10.1787/JBCMA-2009-5KS9V45BGGD5

A. Terai

{"title":"Measurement error in estimating inflation expectations from survey data: An evaluation by Monte Carlo simulations","authors":"A. Terai","doi":"10.1787/JBCMA-2009-5KS9V45BGGD5","DOIUrl":"https://doi.org/10.1787/JBCMA-2009-5KS9V45BGGD5","url":null,"abstract":"This paper discusses the measurement error of conversion methods used to convert survey data to a quantitative index, especially the Carlson and Parkin (1975) method. When we want to summarise economic conditions using a numerical value, we often have to depend on survey data and convert them to a quantitative index. However, because survey research restricts responses into specific classifications and respondent’s response density may not be uniform, survey data surely include a specific error. In addition, because the distribution assumed in the Carlson–Parkin method may not fit the respondent’s distribution, this may also produce measurement error. This paper computes the measurement error of the Carlson and Parkin method in order to clarify its properties by Monte Carlo simulation. First, this paper finds that the \"balance approach\" contains significant error. Second, the error is large when true inflation expectations are large. Third, the error can be decreased by increasing the number of respondents. Fourth, changes in the response classification do not bring about dramatic changes compared with an increase in the number of respondents.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122915913","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: 19

Forecasting international trade: A time series approach 预测国际贸易:时间序列方法

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2010-05-03 DOI: 10.1787/JBCMA-2009-5KS9V44BDJ32

Alexander Keck, Alexander Raubold, A. Truppia

引用次数: 27

The information content of qualitative survey data 定性调查数据的信息内容

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2009-11-24 DOI: 10.1787/JBCMA-V2009-ART2-EN

Christiana Müller

引用次数: 10

Understanding sectoral growth cycles and the impact of monetary policy in Turkish manufacturing 了解行业增长周期和货币政策对土耳其制造业的影响

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2009-11-24 DOI: 10.1787/JBCMA-V2009-ART4-EN

Saygin Sahinoz, Evren Erdoğan Coşar

{"title":"Understanding sectoral growth cycles and the impact of monetary policy in Turkish manufacturing","authors":"Saygin Sahinoz, Evren Erdoğan Coşar","doi":"10.1787/JBCMA-V2009-ART4-EN","DOIUrl":"https://doi.org/10.1787/JBCMA-V2009-ART4-EN","url":null,"abstract":"We pursue a two-fold objective in this paper. First, we try to describe comprehensively the behaviour of sectoral growth cycles in Turkish manufacturing by using several statistical measures and to analyse the co-movement between them via correlation and peak-through analysis. One of the remarkable results of this study is the emergence of the \"chemicals\" and \"paper and paper products\"sectors as the leading sectors of total manufacturing. Another important result reveals that export-oriented sectors, which have a high correlation with total manufacturing and with each other, appear as the main drivers of total manufacturing. The second objective of this study is to investigate the response of output in Turkish manufacturing industries to monetary policy shocks within the vector autoregressive framework. The results show that all manufacturing sectors respond to a contractionary monetary policy shock with a reduction in absolute output but that the degree of output reduction is not the same in all sectors. The total manufacturing output declines very quickly after the shock, reaching its minimum value within three quarters.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":"647 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126911396","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

Dating rules for turning points of growth cycles in Korea 韩国经济增长周期转折点的日期规则

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2009-11-24 DOI: 10.1787/JBCMA-V2009-ART5-EN

K. Min, Lim Sung Joo

{"title":"Dating rules for turning points of growth cycles in Korea","authors":"K. Min, Lim Sung Joo","doi":"10.1787/JBCMA-V2009-ART5-EN","DOIUrl":"https://doi.org/10.1787/JBCMA-V2009-ART5-EN","url":null,"abstract":"A business cycle is recognized as a growth cycle in a continuously growing economy such as Korea. This paper suggests reasonable dating rules for the reference date of a business cycle using various measures of a growth cycle. These measures are a cyclical component of the coincident composite index (CI), a coincident cumulative diffusion index, and a historical diffusion index with coincident component indicators. Dating rules include identifying turning points based on these measures of the growth cycle, and various approaches which confirm and review whether these turning points are appropriate for reference dates. And the dating rules are backed up by an administrative process to determine and disseminate these turning points as the reference dates of growth cycles in Korea. The process provides a strategy that gives authority to the released reference dates and minimises errorsin the dating. However, these dating rules have strict procedures to determine the reference date because the measures of a growth cycle are revised annually and their turning points could be affected by their revisions. Usually, a new reference date requires approximately three years before it is released officially. Due to the delayed dating strategy, the present and future business conditions need to be reviewed by detecting and forecasting models of the coming turning points with leading indexes and coincident indexes.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125341383","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

How fused is the euro area core?: An evaluation of growth cycle co-movement and synchronization using wavelet analysis 欧元区核心融合程度如何?用小波分析评价生长周期的同步性

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2009-02-27 DOI: 10.1787/JBCMA-V2008-ART4-EN

Patrick M. Crowley, D. Mayes

引用次数: 68

Forecasting euro area manufacturing production with country-specific trade and survey data 根据各国具体的贸易和调查数据预测欧元区制造业生产

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2009-02-25 DOI: 10.1787/JBCMA-V2008-ART8-EN

Matthieu Darracq Pariès, L. Maurin

{"title":"Forecasting euro area manufacturing production with country-specific trade and survey data","authors":"Matthieu Darracq Pariès, L. Maurin","doi":"10.1787/JBCMA-V2008-ART8-EN","DOIUrl":"https://doi.org/10.1787/JBCMA-V2008-ART8-EN","url":null,"abstract":"Several factor-based models are estimated to investigate the role of country-specific trade and survey data in forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the choice of the dataset chosen to estimate the factors. Four datasets are built and common factors are estimated separately on each of them following two methodologies, Stock and Watson (2002a, 2002b) and Forni et al. (2005). Then, a rolling out of sample forecast comparison exercise is carried out on nine models to compare the forecast performance of the models and the datasets. Compared to univariate benchmarks, our results are supportive of factor-based models up to two quarters. They show that incorporating survey and external trade information improves the forecast of manufacturing production. They also confirm the findings of Marcellino, Stock and Watson (2003) that, using country information, it is possible to improve forecasts for the euro area. Interestingly, the medium-sized highly opened economies provide valuable information to monitor area wide developments, beyond their weight in the aggregate. Conversely, the large countries do not add much to the monitoring of the aggregate, when considered separately.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":"311 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124424802","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

Swiss GDP revisions: A monetary policy perspective 瑞士GDP修正:货币政策视角

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2009-02-25 DOI: 10.1787/JBCMA-V2008-ART10-EN

Nicolas A. Cuche-Curti, Pamela L. Hall, Attilio Zanetti

引用次数: 21

The importance of updating 更新的重要性

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 1900-01-01 DOI: 10.1787/JBCMA-2015-5JRTFL958GMP

D. Bragoli, Luca Metelli, M. Modugno

{"title":"The importance of updating","authors":"D. Bragoli, Luca Metelli, M. Modugno","doi":"10.1787/JBCMA-2015-5JRTFL958GMP","DOIUrl":"https://doi.org/10.1787/JBCMA-2015-5JRTFL958GMP","url":null,"abstract":"How often should we update predictions for economic activity? Gross domestic product is a quarterly variable disseminated usually a couple of months after the end of the quarter, but many other macroeconomic indicators are released with a higher frequency, and financial markets react very strongly to them. However, most of the professional forecasters, including the IMF, the OECD, and most central banks, tend to update their forecasts of economic activity only two to four times a year. The Central Bank of Brazil, not only disseminates its official forecasts every quarter as other central banks, but also collects and publishes the results of professional forecasters’ survey data at a daily frequency. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil Survey and to compare it with the mechanical forecasts based on state-of-the-art nowcasting techniques. Results indicate that both model and market participant predictions are well behaved, i.e. as more information becomes available their accuracy and correlation with the actual realization increases. In terms of performance the model seems to be slightly better than the institutional forecasts in the nowcast and backcast.\u0000Keywords: Nowcasting, Updating, Dynamic Factor Model.\u0000JEL classification: C33, C53, E37.","PeriodicalId":313514,"journal":{"name":"Oecd Journal: Journal of Business Cycle Measurement and Analysis","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133965029","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