Template-type: ReDIF-Article 1.0
Author-Name: Magnus Forsells
Author-Name: Geoff Kenny
Title: Survey Expectations, Rationality and the Dynamics of Euro Area Inflation
Abstract: This paper uses survey data in order to analyse and assess the empirical properties of consumers’ inflation expectations in the euro area and explores their role in explaining the observed dynamics of inflation. The probability approach is used to derive quantitative estimates of euro area inflation expectations from the qualitative data from the European Commission’s Consumer Survey. The paper subsequently analyses the empirical properties of the estimated inflation expectations by considering the extent to which they fulfil some of the necessary conditions for rationality. The results suggest an intermediate form of rationality. In particular, the surveyed expectations are an unbiased predictor of future price developments and they incorporate – though not always completely – the information contained in a broad set of macroeconomic variables. In addition, although persistent deviations between consumers’ expectations and the rational outcome have occurred, consumers are shown to rationally adjust their expectations in order to eventually “weed out” any systematic expectational errors...
Keywords: Inflation Expectations, Surveys, Rationality, Hybrid Phillips Curves, Euro Area
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 13-41
Volume: 2004
Issue: 1
Handle: RePEc:oec:stdkaa:5LMQCR2JFBG8

Template-type: ReDIF-Article 1.0
Author-Name: Renata Grzeda Latocha
Author-Email: RGrzedaLatocha@meag.com
Author-Name: Gernot Nerb
Author-Email: nerb@ifo.de
Title: Modelling Short-term Interest Rates in the Euro Area Using Business Survey Data
Abstract: Interest rates play a key role in free market economies. According to the Taylor rule, shortterm interest rates depend on deviations of the current inflation rate from a normative value and of the output gap. Given the difficulty of observing the output gap, we postulate that alternative indicators of pressure on capacity should be monitored, especially those obtained from business surveys. Primarily, our work compares those empirically observed capacity utilization figures (CU) with the difference between actual and potential GDP, and tries to assess monetary policy on the basis of these indicators. The analysis of monetary policy is done in the first case by using a simple single equation framework and in a next step by using a more advanced vector autoregressive model. Given the fact that the survey measure of output gap captures only manufacturing and thus omits the important service sector which has a high share in value added we constructed a more comprehensive measure of capacity utilization (CU*). The new indicator is based on CU in manufacturing industry and on the confidence indicator for services...
Keywords: Short-term interest rates, Taylor rule, Output gap, Capacity utilization, Business confidence indicator in the service sector
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 43-69
Volume: 2004
Issue: 1
Handle: RePEc:oec:stdkaa:5LMQCR2JFBF6

Template-type: ReDIF-Article 1.0
Author-Name: Christian M. Dahl
Author-Email: dahlc@mgmt.purdue.edu
Author-Name: Lin Xia
Author-Email: xia@mgmt.purdue.edu
Title: Quantification of Qualitative Survey Data and Test of Consistent Expectations: A New Likelihood Approach
Abstract: In this paper, we develop a likelihood approach for quantification of qualitative survey data on expectations and perceptions and we propose a new test for expectation consistency (unbiasedness). Our quantification scheme differs from existing methods primarily by using prior information (perhaps derived from economic theory or well established empirical relations) on the underlying process driving the variable of interest. To investigate the properties of our novel quantification scheme and to analyze the size and power properties of the new expectation consistency test, we perform Monte Carlo simulation studies. Overall, the simulation results are very encouraging and show that efficiency gains from including prior information can be substantial relative to existing quantification schemes. Finally, we provide an empirical illustration...
Keywords: Qualitative Survey Data, Quantification Schemes, Test of Expectation Formation Hypothesis
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 71-92
Volume: 2004
Issue: 1
Handle: RePEc:oec:stdkaa:5LMQCR2JFBD3

Template-type: ReDIF-Article 1.0
Author-Name: Eva Andersson
Author-Name: David Bock
Author-Name: Marianne Frisén
Title: Detection of Turning Points in Business Cycles
Abstract: Methods for continuously monitoring business cycles are compared. A turn in a leading index can be used to predict a turn in the business cycle. Three likelihood based methods for turning point detection are compared in detail by using the theory of statistical surveillance and by simulations. One of the methods is a parametric likelihood ratio method. Another includes a non-parametric estimation procedure. The third is based on a Hidden Markov Model. Evaluations are made of several features such as knowledge of shape and parameters of the curve, types and probabilities of transitions and smoothing. Results on the expected delay time [of](to) a correct alarm and the predictive value of an alarm are discussed...
Keywords: Business cycle, Monitoring, Optimal, Likelihood ratio, HMM, Non-parametric
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 93-108
Volume: 2004
Issue: 1
Handle: RePEc:oec:stdkaa:5LMQCR2JFBBQ

Template-type: ReDIF-Article 1.0
Author-Name: Richard Etter
Author-Email: etter@kof.gess.ethz.ch
Author-Name: Michael Graff
Author-Email: graffM@rbnz.govt.nz
Title: Coincident and Leading Indicators of Manufacturing Industry
Abstract: The Swiss Institute for Business Cycle Research regularly conducts business tendency surveys (BTS) amongst manufacturing firms. The information thus generated is available with a publication lead to the official Swiss sales, production, order and inventory statistics. It is shown that the survey data can be used to generate reasonably precise estimates of the reference series with leads of at least one quarter. Specifically, cross-correlations of quarterly series are computed to screen the data for pairs of highly correlated business tendency survey series and corresponding official statistics. All pairs are identified where the maximum correlation shows up simultaneously or with a lead of the survey based series and exceeds a given threshold...
Keywords: Composite business cycle indicators, Principal components
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 109-131
Volume: 2004
Issue: 1
Handle: RePEc:oec:stdkaa:5LMQCR2JFB8V

Template-type: ReDIF-Article 1.0
Author-Name: Roberto Golinelli
Author-Email: golinell@spbo.unibo.it
Author-Name: Giuseppe Parigi
Author-Email: giuseppe.parigi@bancaditalia.it
Title: Consumer Sentiment and Economic Activity: A Cross Country Comparison
Abstract: The objective of this article is to reassess the validity of the consumer confidence (or sentiment) indices in anticipating the evolution of economic activity by considering a fairly high number of countries across the world (i.e. France, Germany, Italy, UK, USA, Japan, Canada and Australia) over a period of about thirty years, from the beginning of the seventies till the end of 2002 (quarterly data). To our knowledge this is the first attempt to analyse the consumer confidence index for several countries over such a long period of time. We model the CSIoutput relationship in a cointegrated vector autoregression (VAR) framework, by considering a common set of variables for all countries. Our findings suggest that: (a) what appears to be the main driving forces of consumer confidence cannot be simply summarised on the basis of ...
Keywords: Consumer sentiment, GDP indicator, In- and out-of-sample forecasting ability
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 147-170
Volume: 2004
Issue: 2
Handle: RePEc:oec:stdkaa:5LMQCR2JCPG4

Template-type: ReDIF-Article 1.0
Author-Name: Robert H. McGuckin
Author-Email: r.mcguckin@conference-board.org
Author-Name: Ataman Ozyildirim
Author-Email: a.ozyildirim@conference-board.org
Title: Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?
Abstract: In an important paper, Diebold and Rudebusch (1991) find that, despite good performance for post revision historical versions, the U.S. Index of Leading Economic Indicators (LEI) fails to improve forecasts in real time out-of-sample tests. This paper revisits the issue of real-time performance of the LEI using growth rate forecast specifications. We contrast real-time out-of-sample tests of LEI forecasts using „composition-changing” or „as-published” versions of the LEI with those based on „composition-constant” indexes. The goal is ...
Keywords: Business cycle, Indicators, Leading index, Times series, Forecasting
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 171-191
Volume: 2004
Issue: 2
Handle: RePEc:oec:stdkaa:5LMQCR2JCPD8

Template-type: ReDIF-Article 1.0
Author-Name: Jacques Anas
Author-Email: janas@ccip.fr
Author-Name: Laurent Ferrara
Author-Email: lferrara@ccip.fr
Title: Detecting Cyclical Turning Points: The ABCD Approach and Two Probabilistic Indicators
Abstract: The intricate issue of detecting and forecasting macroeconomic cycles turning points has been once more perfectly illustrated with the global downturn experienced by most countries around the world in 2000-2001. Governments and Central Banks are very sensitive to economic indicators showing signs of deterioration in order to adjust their policies sufficiently in advance to avoid further deterioration or even a recession. These indicators require at least two qualities: they must be reliable and they must provide a readable signal as soon as possible. In this paper, we discuss ...
Keywords: Classical and growth cycle, Peak and trough, Turning point, Probabilistic indicators, Forecasting
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 193-225
Volume: 2004
Issue: 2
Handle: RePEc:oec:stdkaa:5LMQCR2JCPBW

Template-type: ReDIF-Article 1.0
Author-Name: Robert A. Buckle
Author-Name: David Haugh
Author-Name: Peter Thomson
Title: Markov Switching Models for GDP Growth in a Small Open Economy: The New Zealand Experience
Abstract: This paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to 2003:2 in order to analyse changes in mean and volatility over time. The models considered are drawn from a simple class of parsimonious, four state, Markov switching models which encompass a wide range of stationary time series behaviour from linear AR(1) models to non-linear models with persistent cycles and outliers. An overall objective is to use the models to help understand and identify changes in the historical growth performance of New Zealand's small open economy, particularly pre and post wide ranging economic reforms. Conclusions to emerge are that, in contrast to the 1980s, New Zealand GDP growth experienced an unusually long period of time in high growth and low volatility regimes since the early 1990s. In addition, New Zealand does not appear to have ...
Keywords: Markov Switching Models, Hidden Markov Models, Regime
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2004
Pages: 227-257
Volume: 2004
Issue: 2
Handle: RePEc:oec:stdkaa:5LMQCR2JCP9T

Template-type: ReDIF-Article 1.0
Author-Name: Michael Massmann
Author-Email: michael.massmann@uni-bonn.de
Author-Name: James Mitchell
Author-Email: j.mitchell@niesr.ac.uk
Title: Reconsidering the Evidence: Are Euro Area Business Cycles Converging?
Abstract: This paper, using 40 years of monthly industrial production data, examines the relationship between the business cycles of the 12 euro area countries. Since estimates of the business cycle have been found to be sensitive to how the cycle is measured, a range of alternative measures is considered. We focus on both parametric and nonparametric univariate measures of the "classical" and "growth" cycles. We then investigate whether euro area business cycles have converged. This is based on a descriptive analysis of the distribution of bivariate correlation coefficients between the 12 countries’ business cycles. This extends previous work that has looked for convergence, in a similar manner by focusing on correlation, but has not considered the entire distribution, instead focusing on the mean correlation coefficient or particular bivariate correlation coefficients. Moreover, exploiting the panel of correlation coefficients we propose a statistical test for convergence based on estimation of a dynamic heterogeneous panel data model. Although empirical inference about individual euro area business cycles is found to be sensitive to the measure of the business cycle considered, our findings about convergence between the euro area business cycles exhibit similarities across the alternative measures of the business cycle. Interestingly, we find that there have been periods of convergence, identified by the distribution tending to unity, and periods of divergence. The most recent estimates suggest that correlation between the 12 European cycles is statistically positive, and has risen from a trough in the early 1990s. This is confirmed by the test for convergence, which indicates that, despite some volatility over the last 20 years, the long-run trend is for rising correlation between euro area business cycles.
Keywords: Business cycles, EMU, Detrending methods, Convergence
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 275-307
Volume: 2004
Issue: 3
Handle: RePEc:oec:stdkaa:5LGV2584100R

Template-type: ReDIF-Article 1.0
Author-Name: Robert Inklaar
Author-Email: r.c.inklaar@eco.rug.nl
Author-Name: Jan Jacobs
Author-Name: Ward Romp
Title: Business Cycle Indexes: Does a Heap of Data Help?
Abstract: Business cycle indexes are used to get a timely and frequent description of the state of the economy and its likely development in the near future. This paper discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that a reliable index can be constructed from a limited number of series that are selected using economic logic. We next decompose this index to identify variables that seem to be driving the euro area cycle.Business cycle indexes are used to get a timely and frequent description of the state of the economy and its likely development in the near future. This paper discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that a reliable index can be constructed from a limited number of series that are selected using economic logic. We next decompose this index to identify variables that seem to be driving the euro area cycle. This analysis reveals important differences across countries in these driving variables.
Keywords: Business cycles indexes, Coincident and leading indicators, NBER method, Generalized dynamic factor model, Euro area business cycle
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 309-336
Volume: 2004
Issue: 3
Handle: RePEc:oec:stdkaa:5LGV257L0QD2

Template-type: ReDIF-Article 1.0
Author-Name: Sarah Box
Title: Real-Time Data and Business Cycle Analysis in Germany
Abstract: This paper examines the consequences of using so-called "real-time" data for business cycle analysis in Germany. Based on a novel data set covering quarterly real output data from 1980 to 2002 real-time output gaps using some popular filter methods are calculated. They differ considerably from their counterparts based on the most recent data and are, thus, not very reliable. While real-time output gaps are generally not unbiased forecasts of the final output gap series, they provide at least some information regarding the sign of the final output gap. The information content of output gaps calculated in real-time for future inflation is tested by means of an out-of-sample forecast exercise and found to be very limited. Generally, the results for simple growth rates appear to be more promising that the results for simple filters to estimate the output gap. This points to the possibility that the problematic nature of the real-time output gaps is not due to revisions of the underlying data but due to the end-of-sample problem that occurs in filtering recent data. All in all, the results support previous findings regarding other countries that revisions of data and output gap estimates can seriously distort business cycle analysis and, thus, research and policy decisions.
Keywords: Real-time data, Business cycles, Output gap, Inflation, Germany
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 337-361
Volume: 2004
Issue: 3
Handle: RePEc:oec:stdkaa:5LGV25798S24

Template-type: ReDIF-Article 1.0
Author-Name: Lars-Erik Öller
Author-Email: lars-erik.oller@scb.se
Author-Name: Karl-Gustav Hansson
Author-Email: karl-gustav.hansson@scb.se
Title: Revision of National Accounts: Swedish Expenditure Accounts and GDP
Abstract: This paper studies the revisions of the expenditure approach variables of the National Accounts, the most popular tool in macroeconomic forecasting and analysis. Preliminary figures get most attention. But how reliable are they? Generally, preliminary figures underestimate growth rates. Some revision distributions are significantly non-normal, being leptokurtic, which translates to frequent outliers. The dispersion of the revisions of some variables is so large that the general usefulness of these variables can seriously be questioned. For many variables, revisions are correlated with the business cycle, i.e. growth rates are revised upwards in upturns and downwards in downturns. Plausible reasons are: biased imputation rules, prudent judgment and a sampling problem. Opposite signs and indications of acceleration/deceleration of preliminary and final figures are recorded and discussed. Different seasonal patterns further emphasize the incongruence between preliminary and final data. This may have serious consequences when analyzing seasonally adjusted data. Consistency of vintages would require cointegration and a common stochastic trend, but none was found on any frequency. A “final” figure may be substantially revised years later. The “latest” long-range growth is different from final and preliminary growth rates. These later revisions are primarily due to new classification rules. An international comparison completes the study. Positive bias appears in many countries’ GDP revisions. Correlation with the business cycle is common among European countries. In the conclusions, some proposals are given on how to improve the usefulness of preliminary data.
Keywords: Revision distributions, Business cycle records, Seasonal patterns, Vintage cointegration
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 363-385
Volume: 2004
Issue: 3
Handle: RePEc:oec:stdkaa:5LGV257377NT

Template-type: ReDIF-Article 1.0
Author-Name: Hannah Sabine Hempell
Author-Email: hannahs.hempell@bundesbank.de
Title: New Bank Lending Survey of the Eurosystem: Interpretation and Use of First Results for Germany
Abstract: Since January 2003 the Eurosystem conducts a regular quarterly bank lending survey for the euro area. It is the first regular survey that gathers information on the distinct supply-side determinants and demand-side determinants of the development in lending business for the euro area. The paper delineates the background and the institutional framework of the survey for the euro area as well as for Germany and provides aggregate survey results of the first eight survey rounds for Germany. Main tendencies as well as the contributing factors put forward by the banks surveyed are assessed on an aggregate level. In a detailed analysis, which additionally uses the information of the micro data level, we assess the factors impacting on changes in credit standards and in the demand for loans more closely and test for their significance. Apart from the relationship between different parts of the data obtained by the survey, the explanatory power of the survey data for actual loan growth and changes in credit margins is of special interest. Using the information from the bank balance sheets statistics and the new interest rate statistics of the monetary financial institutions (MFI) on the micro data level, we test whether the survey data contain significant information on banks' individual loan growth and margin changes.
Keywords: Bank lending, Survey data
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 387-407
Volume: 2004
Issue: 3
Handle: RePEc:oec:stdkaa:5LGV256TQD6C

Template-type: ReDIF-Article 1.0
Author-Name: Marco Malgarini
Author-Email: m.malgarini@isae.it
Author-Name: Patrizia Margani
Author-Name: Bianca Maria Martelli
Title: New Design of the ISAE Manufacturing Survey
Abstract: This paper describes the new ISAE manufacturing survey design and its recent reengineering process. Three important goals have been reached: First, the underlying industrial structure for the aggregation of survey results is now based on the up-to-date NACE Rev. 1.1 classification (at the 3-digit level), adapted to take into consideration the structure of the Italian economy. Second, weights used in the aggregation have now been updated to the year 1999. Third, the weighting scheme is now based on a coherent system of firm-size weights, based on a four-stage method in which the firms' employees are used as weights to aggregate the firms' results for the balance of a question in each strata; then results for each strata are aggregated to calculate the total manufacturing, using updated value added weights (coming from an external source, ISTAT). As a consequence, the general quality of the ISAE survey data has strongly improved: Results are now more reliable at an international level and a full comparability between national, regional and firm-size level data is also ensured. Finally, historical data up to 1991 have been re-calculated according to the new aggregation scheme, in order to ensure intertemporal comparability of the data.
Keywords: Survey methods, Aggregation, Weights
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 125-142
Volume: 2005
Issue: 1
Handle: RePEc:oec:stdkaa:5KM7V18340NR

Template-type: ReDIF-Article 1.0
Author-Name: Tommaso di Fonzo
Author-Email: difonzo@stat.unipd.it
Author-Name: Marco Marini
Author-Email: marco.marini@istat.it
Title: Benchmarking Systems of Seasonally Adjusted Time Series
Abstract: When a system of time series is seasonally adjusted, generally the accounting constraints originally linking the series are not fulfilled. To overcome this problem, we discuss an extension to a system of series linked by an accounting constraint of the classical univariate benchmarking procedure due to Denton (1971), which is founded on a movement preservation principle that is very relevant in this case. The presence of linear dependence between the variables makes it necessary to deal with the whole set of contemporaneous and temporal aggregation relationships. The cases of one-way classified (e.g., by regions or by industries) and of two-way classified (e.g., by regions and by industries) systems of series are studied. An empirical application to the Canadian retail trade series by province (12 series) and trade groups (18 series) is considered to show the capability of the proposed procedures.
Keywords: Benchmarking, Systems of time series, Accounting constraints, Denton's movement preservation principle
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 89-123
Volume: 2005
Issue: 1
Handle: RePEc:oec:stdkaa:5KM7V1835WR5

Template-type: ReDIF-Article 1.0
Author-Name: Christian Dreger
Author-Email: cdr@iwh-halle.de
Author-Name: Christian Schumacher
Author-Email: christian.schumacher@bundesbank.de
Title: Out-of-sample Performance of Leading Indicators for the German Business Cycle: Single vs. Combined Forecasts
Abstract: In this paper the forecasting performance of popular leading indicators for the German business cycle is investigated. Survey based indicators (ifo business climate, ZEW index of economic sentiment) and composite leading indicators (Handelsblatt, Frankfurter Allgemeine Zeitung, Commerzbank) are considered. The analysis points to a significant relationship of the indicators to the business cycle within the sample period, as measured by the direction of causality. But, their out-of-sample forecasts do not improve the autoregressive benchmark. This result may be caused by structural breaks in the out-of-sample period. As combinations of forecasts tend to be more robust against such shifts, pooled forecasts are constructed using different methods of aggregation, including linear combinations of forecasts and common factor models. In contrast to the single indicator approach, the combined indicator forecasts are able to beat the benchmark at each forecasting horizon. Therefore, the analysis points to the usefulness of pooling information in order to get more reliable forecasts.
Keywords: Leading Indicators, Combined forecasts
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 71-87
Volume: 2005
Issue: 1
Handle: RePEc:oec:stdkaa:5KM7V183QS0V

Template-type: ReDIF-Article 1.0
Author-Name: Emanuel Mönch
Author-Email: moench@wiwi.hu-berlin.de
Author-Name: Harald Uhlig
Author-Email: uhlig@wiwi.hu-berlin.de
Title: Towards a Monthly Business Cycle Chronology for the Euro Area
Abstract: This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and Euro area data, we are able to replicate approximately the dating decisions of the National Bureau of Economic Research (NBER) and the Centre for Economic Policy Research (CEPR).
Keywords: Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 43-69
Volume: 2005
Issue: 1
Handle: RePEc:oec:stdkaa:5KM7V183T48R

Template-type: ReDIF-Article 1.0
Author-Name: Michael Artis
Author-Name: Massimiliano Marcellino
Author-Name: Tommaso Proietti
Author-Email: proietti@dss.uniud.it
Title: Business Cycles in the New EU Member Countries and their Conformity with the Euro Area
Abstract: We analyse the evolution of the business cycle in the new EU member countries, after a careful examination of the seasonal properties of the available series and the required modification of the cycle dating procedures. We then focus on the degree of cyclical concordance within the group of new EU member countries, which turns out to be in general lower than that between the EU-15 countries (the Baltic countries constitute an exception). With respect to the euro area, the indications of synchronization are also generally low and lower relative to the position obtaining for countries taking part in previous enlargements (with the exceptions of Poland, Slovenia and Hungary).
Keywords: Business cycles, Dating algorithms, Cycle synchronization, EU enlargement, Seasonal adjustment
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2005
Pages: 7-41
Volume: 2005
Issue: 1
Handle: RePEc:oec:stdkaa:5KM7V183WFR5

Template-type: ReDIF-Article 1.0
Author-Name: Christian Gayer
Author-Email: christian.gayer@cec.eu.int
Title: Forecast Evaluation of European Commission Survey Indicators
Abstract: This study examines the contribution of several survey indicators published by the European Commission to forecasting overall economic activity in the euro area. It entails a quantitative evaluation of the information content of seven composite indicators with regard to GDP growth. A preliminary analysis looks at the stationarity and correlation properties of the variables. Based on bivariate VAR-models and the notion of forecast improvement, the methodological approach is two-fold: In a first step, the focussed relations are studied from an ex post perspective. Employing standard and individual Granger-causality tests, an initial assessment of the mean predictive content of the indicators is provided.
Keywords: Business Cycle, Confidence Indicators, Forecasting, Forecast Evaluation
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 157-183
Volume: 2005
Issue: 2
Handle: RePEc:oec:stdkaa:5L9VC43C09MS

Template-type: ReDIF-Article 1.0
Author-Name: Tomasz Lysiak
Author-Email: tomasz.lyziak@mail.nbp.pl
Title: Inflation Targeting and Consumer Inflation Expectations in Poland: A Success Story?
Abstract: Qualitative survey data on inflation expectations can be quantified with the use of probability or regression methods. This paper presents the results of probability methods implemented to estimate numerical measures of Polish consumer inflation expectations. Inflation expectations constitute a subject of particular interest to central banks, especially those pursuing a monetary policy based on a strategy of inflation targeting. One of commonly emphasised features of this strategy is that it has proved to be useful in anchoring inflation expectations. The paper proposes a manner in which the achievement of this goal may be assessed ex-post. It is argued that to make such an assessment it is not sufficient to examine changes in the level of inflation expectations relative to inflation target, but it is necessary to analyse in detail the formation of inflation expectations, in particular the degree to which requirements of rational expectations hypothesis, namely: unbiasedness and macroeconomic efficency, are fulfilled. The examination of consumer expectations in Poland leads to the conclusion that even if the adoption of inflation targeting in Poland in 1998 and the commitment of monetary authorities to reach price stability reflected in a fast disinflation process decreased the level of inflation expectations, it has not sufficiently increased their rationality yet. On the other hand, there appear some signs of consumer inflation expectations in Poland becoming slightly more forwardlooking in the most recent period.
Keywords: Inflation expectations, Surveys, Rationality, Inflation targeting, Poland
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 185-212
Volume: 2005
Issue: 2
Handle: RePEc:oec:stdkaa:5L9VC405J3LR

Template-type: ReDIF-Article 1.0
Author-Name: Christophe van Nieuwenhuyze
Author-Email: christophe.vannieuwenhuyze@nbb.be
Title: A Generalized Dynamic Factor Model for the Belgian Economy: Identification of the Business Cycle and GDP Growth Forecasts
Abstract: This paper aims to identify the Belgian business cycle and forecast GDP growth based on a large data base of short-term conjunctural indicators. The data base consists of 509 indicators containing information on surveys of Belgium and its neighbouring countries, macroeconomic variables and some worldwide watched indicators such as the US ISM and OECD confidence indicators. The statistical framework used is the One-Sided Generalized Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2003). The model reduces the variables to their core business cycle information, defined as the part of variation of the variables common to the data set. Well-known indicators such as the EC economic sentiment indicator and the NBB overall synthetic curve contain a high amount of business cycle information. Furthermore, the richness of the model allows to determine the cyclical properties of the series and to forecast GDP growth all within the same unified setting. We classify the variables into leading, lagging and coincident with respect to a reference business cycle defined as the common variation contained in quarter-on-quarter GDP growth. 22% of the variables are found to be leading. Amongst the most leading variables we find asset prices and international confidence indicators such as the ISM and some OECD indicators. In general, national business confidence surveys are found to be coincident, while consumer confidence seems to lag. Although the model captures the dynamic common variation contained in the data set, forecasts based on that information are insufficient to deliver a good proxy for GDP growth given a non-negligible idiosyncratic part in GDP's variance. Lastly, we explore the dependence of the model's results on the data set and show through a data reduction process that the idiosyncratic part of GDP growth can be dramatically reduced. However, this does not improve the forecasts.
Keywords: Dynamic factor model, Business cycle, Leading indicators, Forecasting, Data reduction
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 213-247
Volume: 2005
Issue: 2
Handle: RePEc:oec:stdkaa:5L4TH8X7MB36

Template-type: ReDIF-Article 1.0
Author-Name: Friedrich L. Sell
Author-Email: friedrich.sell@unibw-muenchen.de
Title: Optimism, Pessimism and the Unforeseen: Modelling an Endogenous Business Cycle Driven by Strong Beliefs
Abstract: Indicators of "trust", "confidence", "optimism" or "sentiment" among consumers and/or investors, are published continuously in the mass media. More importantly, these indices seem not only to reflect how the state of the real economy is perceived by private agents, but can also help predict the future course of the business cycle. Moreover, in econometric analyses they have even been found to "cause" business activity. In this paper, we intend to provide a theoretical foundation for how "pessimism" and "optimism", in conjunction with estimation errors committed by private agents and contagion effects, can drive the real economy. Furthermore, the model presented is capable of incorporating the revision of expectations of private agents through Bayesian updating and to create a fully endogenized business cycle of private consumption.
Keywords: Business cycles, Rational beliefs, Bayesian updating, Contagion, Consumer behaviour
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 249-276
Volume: 2005
Issue: 2
Handle: RePEc:oec:stdkaa:5L9VC3TWP2WL

Template-type: ReDIF-Article 1.0
Author-Name: Nicolas Ferrari
Author-Email: nicolas.ferrari@dgtpe.fr
Title: Forecasting Corporate Investment: An Indicator Based on Revisions in the French Investment Survey
Abstract: Insee's quarterly survey of investment in industry is a prime source of information concerning short-term evolutions in productive investment, making it possible to estimate these evolutions at an early stage and with considerable precision. However, the annual nature of the questions posed makes it is difficult to use the results for forecasting on a quarterly basis. This article proposes a quarterly indicator based on revisions in industrial firms? expectations regarding their investment. This indicator measures the adjustments to investment figures made during the year in response to changes of a short-term nature. It turns out to be closely correlated with quarterly evolutions in firms? investment as measured in the national accounts. Moreover, it is available roughly three months before the publication of the initial quarterly national accounts figures. As the distributions examined fail to verify the classic normality hypothesis (thick tails and heavy concentrations at zero) it is necessary toapply an estimation method that is robust to extreme revisions. Taking into account also the presence of heteroscedasticity, the method adopted was that known as "Quasi-Generalised M-Estimators".
Keywords: Productive investment, Forecasts, Business surveys, Outliers, Robust regressions, M-estimators, Adaptative procedures
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 277-305
Volume: 2005
Issue: 2
Handle: RePEc:oec:stdkaa:5L9VC3TQ81R3

Template-type: ReDIF-Article 1.0
Author-Name: Massimo Gerli
Author-Email: m.gerli@palazzochigi.it
Author-Name: Giovanni Marini
Author-Email: g.marini@palazzochigi.it
Title: Spatial and Temporal Time Series Conversion: A Consistent Estimator of the Error Variance-Covariance Matrix
Abstract: Spatial and Temporal Time Series Conversion - A Consistent Estimator of the Error Variance-Covariance Matrix. Abstract: We focus on the problem of time series conversion from low to high frequency satisfying the twofold temporal and spatial constraint. We offer a simple solution to variance-covariance matrix estimation of the error terms. Since the residuals of high frequency equations of the indicated indicator model are not observable, we inferred the characteristics of their stochastic process through both a specific hypothesis (VAR 1 process) and estimation of the related annual model. We derive a consistent estimator of the variance-covariance matrix and we prove that Di Fonzo's (1990) estimator based on this matrix is asymptotically equivalent to a GLS estimator.
Keywords: Spatial and temporal disaggregation, VAR
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 373-405
Volume: 2005
Issue: 3
Handle: RePEc:oec:stdkaa:5L9K4XW1SBZQ

Template-type: ReDIF-Article 1.0
Author-Name: Edoardo Otranto
Author-Email: eotranto@uniss.it
Title: Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy
Abstract: The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The econometric literature has not paid a great deal of attention to this topic. In this paper we extend an approach based on the use of dummy variables to the well known trend plus cycle model, in a multivariate context, using both quarterly and monthly data. This procedure is applied to the Italian economy, using the variables suggested by an Italian Institution (ISAE) to provide a national dating, and compared with the equivalent multivariate and univariate approaches with monthly data. We note that the contemporaneous use of quarterly and monthly data provides results more consistent with the official ones with respect to the other approaches.
Keywords: Business cycle, State-space model, Time series, Trend, Turning points
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 407-429
Volume: 2005
Issue: 3
Handle: RePEc:oec:stdkaa:5L9K4XSN3P6C

Template-type: ReDIF-Article 1.0
Author-Name: Klaus Abberger
Author-Email: abberger@ifo.de
Title: Another Look at the Ifo Business Cycle Clock
Abstract: Business tendency surveys are a popular instrument for business cycle analysis. The survey results are used to calculate leading business cycle indicators. For Germany the Ifo Institute publishes the Ifo business climate, which consists of the results of two questions: one question about the current situation of the respondents and a second question about their expectations for the coming months. The business climate combines the answers on both questions to a single indicator. This indicator is closely watched by the public. To visualize the interactions between the two components behind this indicator, the Ifo Institute developed a graphical representation called the Ifo business cycle clock. This article shows, with the help of circular-linear correlation analysis, that this illustration is indeed valuable. But it also shows that the clock times should be interpreted carefully.
Keywords: Leading indicator, Business tendency surveys, Business cycle, Circular-linear correlation
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 431-443
Volume: 2005
Issue: 3
Handle: RePEc:oec:stdkaa:5L9K4XSJG6MN

Template-type: ReDIF-Article 1.0
Author-Name: Steffen Henzel
Author-Email: henzel@ifo.de
Author-Name: Timo Wollmershäuser
Author-Email: wollmershaeuser@ifo.de
Title: Quantifying Inflation Expectations with the Carlson-Parkin Method: A Survey-based Determination of the Just Noticeable Difference
Abstract: This paper presents a new methodology for the quantification of qualitative survey data. Traditional conversion methods, such as the probability approach of Carlson and Parkin (1975) or the time-varying parameters model of Seitz (1988), require very restrictive assumptions concerning the expectations formation process of survey respondents. Above all, the unbiasedness of expectations, which is a necessary condition for rationality, is imposed. Our approach avoids this assumptions. The novelty lies in the way the boundaries inside of which survey respondents expect the variable under consideration to remain unchanged are determined. Instead of deriving these boundaries from the statistical properties of the reference time-series (which necessitates the unbiasedness assumption), we directly queried them from survey respondents by a special question in the Ifo World Economic Survey. The new methodology is then applied to expectations about the future development of inflation obtained from the Ifo World Economic Survey.
Keywords: Inflation expectations, Survey data, Quantification methods
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 321-352
Volume: 2005
Issue: 3
Handle: RePEc:oec:stdkaa:5L9K5D21HFF5

Template-type: ReDIF-Article 1.0
Author-Name: Laurent Ferrara
Author-Email: lferrara@ccip.fr
Author-Name: Dominique Guégan
Author-Email: guegan@ecogest.ens-gachan.fr
Title: Detection of the Industrial Business Cycle using SETAR Models
Abstract: In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then we apply these models to the Euro-zone industrial production index to detect in real-time, trough a dynamic simulation approach, the dates of peaks and throughs in the business cycle.
Keywords: Economic cycle, Turning point detection, Threshold model, Euro area IPI
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2006
Pages: 353-371
Volume: 2005
Issue: 3
Handle: RePEc:oec:stdkaa:5L9K5D020423

Template-type: ReDIF-Article 1.0
Author-Name: Richard Curtin
Author-Email: curtin@umich.edu
Title: Consumer Sentiment Surveys: Worldwide Review and Assessment
Abstract: Consumer sentiment surveys are regularly conducted in at least forty-five countries. The surveys are based on the premise that data on consumer expectations represent a leading indicator of future changes in the macro economy. A series of Granger causality tests indicated that measures of consumer sentiment both predict and are predicted by a wide range of economic variables, although the data exhibit substantial differences across countries and across variables. The predictive performance was not found to be directly related to differences in sampling, question wording, or index construction. Several recommendations are given to enhance the predictive performance of consumer sentiment. First, a new conceptualization of consumer sentiment is now warranted based on changes in the knowledge and sophistication of consumers, the increased availability of economic information, shifts in the composition of demand, and changes due to an aging population. New survey measurement techniques are needed as well. Preliminary data on numeric probability scales indicate that there are advantages and disadvantages to a shift away from the now commonly used verbal likelihood scales. Second, new analysis models are proposed that would disaggregate consumer spending into its components as well as disaggregate the consumer data into separate demographic and economic subgroups. Third, changes in the survey administration are proposed. The shift away from telephone surveys will be due to falling response rates, especially among younger adults; the shift toward internet surveys will be due to their greater capacity to handle much more complex measurement strategies. Finally, the very notion of worldwide harmonization must also evolve; shifting its main focus from the input questions to the output indices so as to encompass a greater range of diversity in measurement methodologies. The basic premise of the consumer sentiment surveys has been affirmed by past measurements, and with appropriate developments, the consumer sentiment surveys can provide even more robust and timely forecasts of trends in the macro economy in the future.
Keywords: Consumer Sentiment, Leading Indicators, Expectations, Survey Methodology
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2007
Pages: 7-42
Volume: 2007
Issue: 1
Handle: RePEc:oec:stdkaa:5L4KX1HLXG9T

Template-type: ReDIF-Article 1.0
Author-Name: Ard H. J. den Reijer
Author-Email: a.h.j.den.reijer@dnb.nl
Title: Deviation Cycles in Manufacturing: Business Cycle Measurement and Leading Indicators
Abstract: The deviation cycles in the manufacturing industry of nine OECD-countries are identified by applying the Christiano-Fitzgerald band-pass filter. Turning points, low- and high-growth phases and other descriptive statistics are derived from these deviation cycles. A regression based test statistic is applied to test for duration dependence. Moreover, the international linkage between the cyclical motions in the manufacturing industry of two countries is investigated by measuring the degree of synchronisation. In addition to measuring the cyclical fluctuation, a composite leading indicator is constructed which replicates and predicts the deviation cycle in the manufacturing industry. This composite leading indicator is a single index composed of economic, financial and expectation variables possessing leading properties.
Keywords: Business cycles, Turning points, Leading indicators, Band-pass filter
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2007
Pages: 43-77
Volume: 2007
Issue: 1
Handle: RePEc:oec:stdkaa:5L4KX1HG1TQ4

Template-type: ReDIF-Article 1.0
Author-Name: Daniel R. Smith
Author-Email: drsmith@sfu.ca
Author-Name: Allan Layton
Author-Email: layton@usq.edu.au
Title: Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models
Abstract: We evaluate techniques for comparing the ability of Markov regime switching (MRS) models to fit underlying regimes of a series of interest. This is particularly important in the business cycle literature where one may be interested in determining whether using leading indicators to allow transition probabilities to vary improves the ability of MRS models to fit the NBER business cycle chronology. This is typically done using the quadratic probability score, or QPS (Diebold and Rudebusch, 1989). Although it is possible to statistically compare the QPS statistics for two MRS models using the Diebold and Mariano (1995) (DM) test statistic for comparing forecasts, we find using a Monte Carlo experiment that the DM statistic tends to under-reject (the null of "no difference in forecast accuracy") when comparing MRS models. This we believe is because of the strong non-normality of the forecast errors of such models. Furthermore, using simulation-based inference we demonstrate that leading indicators improve the fit of an MRS model of the US business cycle chronology by 24 percent, such improvement having a p-value of 0.001.
Keywords: Markov Regime Switching, Diebold and Mariano statistic, Quadratic Probability Score, Monte Carlo, Business Cycle
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2007
Pages: 79-98
Volume: 2007
Issue: 1
Handle: RePEc:oec:stdkaa:5L4KX1HDDHJB

Template-type: ReDIF-Article 1.0
Author-Name: Richard McKenzie
Author-Email: richard.mckenzie@oecd.org
Title: Improving Timeliness for Short-Term Economic Statistics
Abstract: Effective business cycle analysis, and indeed the monitoring of a countries economic performance from a policy perspective, requires access to timely high quality short-term economic statistics (STES). Consequently in recent years there has been a lot of pressure on national statistics organisations (NSOs) to better serve their users by improving the timeliness of release for their short-term economic indicators. In response to this demand, NSOs have focused on improving the efficiency and methodology of their statistical production processes. So this begs the question: where would one look to find comprehensive documentation on good practices used by NSOs to improve the timeliness of their short-term economic statistics? The answer is the STES Timeliness Framework, a structured collection of documentation on a range of good practices currently used by NSOs for improving timeliness, reducing costs or improving accuracy for short-term economic statistics. This report outlines the principles behind the development of this framework, explains its structure and reviews its current usage by statisticians.
Keywords: Timeliness, Reducing Cost, Short Term Economic Statistics
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2007
Pages: 99-119
Volume: 2007
Issue: 1
Handle: RePEc:oec:stdkaa:5L4KX1H90CS7

Template-type: ReDIF-Article 1.0
Author-Name: Péter Benczúr
Author-Email: benczurp@mnb.hu
Author-Name: Emin Muradov
Author-Email: emin@eco.utexas.edu
Author-Name: Attila Rátfai
Author-Email: ratfaia@ceu.hu
Title: Cyclical Fluctuations in CIS Economies
Abstract: This paper documents a number of stylized facts of quarterly frequency cyclical fluctuations in a specific group of developing economies, previously belonging to the same country organization, the former Soviet Union. We find that in these countries (1) fluctuations are in general less persistent than elsewhere; (2) private consumption is extremely volatile; (3) net exports are procyclical and persistent in commodity exporter countries; (4) government consumption is a very important, dominantly procyclical determinant of output; (5) Belarus, Russia, Ukraine, and to a smaller degree, Kazakhstan and Moldova are surprisingly similar in the behavior of their GDP components, industrial production and certain nominal variables; (6) there is mixed evidence regarding the dominance of supply versus demand shocks.
Keywords: Business Cycle Facts, Historical Origin, Commonwealth of Independent States
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2007
Pages: 121-135
Volume: 2007
Issue: 1
Handle: RePEc:oec:stdkaa:5L4KX1H6KKF4

Template-type: ReDIF-Article 1.0
Author-Name: Ronny Nilsson
Author-Email: ronny.nilsson@oecd.org
Author-Name: Emmanuelle Guidetti
Author-Email: emmanuelle.guidetti@oecd.org
Title: Current Period Performance of OECD Composite Leading Indicators
Abstract: This paper presents a comprehensive analysis of the current period performance of the OECD composite leading indicators (CLIs) for 21 OECD Member countries and three zone aggregates for which CLIs are available for a longer time period. The main aim of the current analysis on CLIs is to further evaluate the quality of the indicator in order to identify areas where their reliability could be improved. The results show that first estimates of CLIs are revised frequently but the size of revisions is rather small for most countries and almost neglectable for zone aggregates and there is no evidence of bias. The OECD CLI is, however, designed to provide early signals of turning points (peaks and troughs) between expansions and slowdowns of economic activity. Forecasting turning points is one of the main objectives of the leading indicator technique, because predicting the timing of cyclical turning points is one of the least reliable activities in economic forecasting. The results provide evidence that first and second estimates of year-on-year growth rates give reliable signals of approaching cyclical turning points. Finally, the importance of smoothness of components in the calculation of first and second estimates of the CLI and the overall smoothness of the CLI itself is noted in the findings. The results support the argument that it is not enough to have timely components they also need to be smooth to guarantee small revisions. Overall, this study has shown that whilst it could be dangerous to draw conclusions on the directions up or down in growth rates from one or two months figures for several countries, the first and second estimates of the CLIs give early signals of approaching turning points which in most cases are not revised later.
Keywords: Revision analysis, Leading indicators, Turning points, Smoothness
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 235-266
Volume: 2007
Issue: 2
Handle: RePEc:oec:stdkaa:5KM7VGQH718T

Template-type: ReDIF-Article 1.0
Author-Name: Marco Malgarini
Author-Email: m.malgarini@isae.it
Title: Inventories and Business Cycle Volatility: An Analysis Based on ISAE Survey Data
Abstract: The paper looks at an often debated issue – the decline observed in business cycle volatility – using qualitative data derived from Business Tendency Surveys. It concentrates on the manufacturing sector, providing evidence that volatility slowdown is attributable to a break in the Data Generating Process (Cecchetti, Flores-Lagunes and Krause, 2006) rather than to a long trend decline (Blanchard and Simon, 2001). Moreover, it shows that lower variance of the ISAE Confidence Indicator is mostly explained by the behaviour of firms' assessments of demand and inventories. In particular, inventories volatility has decreased, while volatility of production has instead increased with respect to that of demand. Both of these results are consistent with the claim that better inventories management should have a specific role in shaping the production decisions of the firms (Wen, 2005).
Keywords: Inventories, Business cycle, Business cycle volatility
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 175-197
Volume: 2007
Issue: 2
Handle: RePEc:oec:stdkaa:5KZPQ2XDQC23

Template-type: ReDIF-Article 1.0
Author-Name: Maria Antoinette Silgoner
Author-Email: maria.silgoner@oenb.at
Title: The Economic Sentiment Indicator: Leading Indicator - Properties in Old and New EU Member States
Abstract: This paper assesses the leading indicator properties of the Economic Sentiment Indicator (ESI) of the European Commission, as well as two of its subcomponents, for industrial production growth. For this purpose we perform correlation analysis, Granger causality tests, an assessment on the ability to predict turning points and an out-of-sample forecasting exercise. Within a panel setting we compare the characteristics of these indicators for two subgroups of EU countries: the EU-15 and the new EU member states. We show that the forecasting quality and the leading indicator properties are still slightly lagging behind in the group of new EU member states. This may be related to the general problem of data quality and the undergone history of structural change in these countries that makes the assessment of future economic prospects particularly difficult.
Keywords: Leading indicators, Business cycle fluctuations, Forecasting, New EU member states
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 199-215
Volume: 2007
Issue: 2
Handle: RePEc:oec:stdkaa:5KZPQ2XB9RG7

Template-type: ReDIF-Article 1.0
Author-Name: Hiroshi Yamada
Author-Email: yamada@hiroshima-u.ac.jp
Author-Name: Yuzo Honda
Author-Name: Yasuyoshi Tokutsu
Title: An Evaluation of Japanese Leading Indicators
Abstract: This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not the leading composite index and its component series truly lead the business cycle turning point dates officially determined by the Japanese government. We argue that if we utilize the evaluated properties of the component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provide one such example.
Keywords: Business cycle turning points, Leading indicators, Baxter-King filter
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 217-233
Volume: 2007
Issue: 2
Handle: RePEc:oec:stdkaa:5KZPQ2X6P5G7

Template-type: ReDIF-Article 1.0
Author-Name: Simen Gaure
Author-Name: Knut Røed
Title: How Tight is the Labour Market?: Sources of Changes in the Aggregate Exit Rate from Unemployment across the Business Cycle
Abstract: We decompose variations in the aggregate exit rate from unemployment to employment into two factors: i) Changes in the arrival rate of acceptable job offers; and ii) changes in the composition of the unemployment pool in terms of average employability. We argue that the former of these factors provides the basis for an informative labour market tightness indicator, while the latter yields valuable information regarding the design of optimal labour market policies across the cycle. Based on Norwegian register data, we find that individual monthly exit rates tend to double from a cyclical trough to a cyclical peak, ceteris paribus, but that crosssectional heterogeneity nevertheless explains 88 per cent of the overall variation in individual monthly exit probabilities during the period from 1989 to 2002.
Keywords: Labour market tightness, Business cycles, Unemployment
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 155-173
Volume: 2007
Issue: 2
Handle: RePEc:oec:stdkaa:5KZPQ2XK8NMS

Template-type: ReDIF-Article 1.0
Author-Name: Bruce Felmingham
Author-Email: bruce.felmingham@utas.edu.au
Author-Name: Arusha Cooray
Author-Email: arusha.cooray@utas.edu.au
Title: The Cyclical and Trend Behavour of Australian Investment and Savings
Abstract: A spectral analysis of the Australian time series for the investment and savings ratios on quarterly data over the period from September 1959 to December 2005 reveals that the major cyclical components of the savings and investment ratios cohere strongly. This suggests there is a medium to long term relationship between investment and savings. Further, the investment and saving ratios cohere strongly with the business cycle suggesting a procyclical pattern of investment and saving behaviour on Australian data. A subsequent long memory analysis reveals that the saving and investment ratios, the investment ratio and real GDP and the savings ratio and real GDP are fractionally cointegrated. The policy implications are explained.
Keywords: Spectral analysis, Cycles, Trends, Fractional Cointegration, Long memory, Investment, Savings
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 367-386
Volume: 2007
Issue: 3
Handle: RePEc:oec:stdkaa:5KM7V18RMF8R

Template-type: ReDIF-Article 1.0
Author-Name: Stefano Siviero
Author-Email: stefano.siviero@bancaditalia.it
Author-Name: Daniele Terlizzese
Author-Email: daniele.terlizzese@eief.it
Title: Macroeconomic Forecasting: Debunking a Few Old Wives' Tales
Abstract: The forecasting profession, especially when producing forecasts intended to support economic policy, does not currently enjoy a good reputation. Complaints are sometimes voiced about its lack of scientific discipline, which in turn implies that the forecast results may be viewed as arbitrary. At other times, it is the excessively mechanical nature of the forecasting process which is criticised, on the grounds that it prevents a proper evaluation of any information concerning changes that alter the functioning of the economic system. Moreover, the use of structural models is often deemed superfluous, or even dangerous, and reduced forms are suggested as a preferable alternative. Drawing on the actual forecasting experience at the Bank of Italy, this paper argues that these views stem largely from a biased perception of how forecasting works, what it consists of and which goals it pursues. In particular, forecasting does not simply amount to producing a set of figures: rather, it aims at assembling a fullyfledged view – one may call it a "story behind the figures" – of what could happen: a story that has to be internally consistent, whose logical plausibility can be assessed, whose structure is sufficiently articulated to allow one to make a systematic comparison with the wealth of information that accumulates as time goes by. This implies that the forecasts are not the result of a black-box process that completely lacks discipline; neither are they the outcome of a purely mechanical process that cannot take new information into account. This paper tries to show that forecasting can be rigorous, not mechanical, informative, and useful even in the face of unprecedented situations.
Keywords: Forecasting, Policy-making
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 287-316
Volume: 2007
Issue: 3
Handle: RePEc:oec:stdkaa:5KZDNHZQHZS0

Template-type: ReDIF-Article 1.0
Author-Name: Gérard Biau
Author-Email: gerard.biau@upmc.fr
Author-Name: Olivier Biau
Author-Email: olivier.biau@ensae.org
Author-Name: Laurent Rouvière
Author-Email: laurent.rouviere@univ-rennes2.fr
Title: Nonparametric Forecasting of the Manufacturing Output Growth with Firm-level Survey Data
Abstract: A large majority of summary indicators derived from the individual responses to qualitative Business Tendency Surveys (which are mostly three-modality questions) result from standard aggregation and quantification methods. This is typically the case for the indicators called balances of opinion, which are currently used in short term analysis and considered by forecasters as explanatory variables in many models. In the present paper, we discuss a new statistical approach to forecast the manufacturing growth from firm-survey responses. We base our predictions on a forecasting algorithm inspired by the random forest regression method, which is known to enjoy good prediction properties. Our algorithm exploits the heterogeneity of the survey responses, works fast, is robust to noise and allows for the treatment of missing values. Starting from a real application on a French dataset related to the manufacturing sector, this procedure appears as a competitive method compared with traditional algorithms.
Keywords: Business Tendency Surveys, balance of opinion, short-term forecasting, manufactured production, k-nearest neighbor regression, random forecasts
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 317-331
Volume: 2007
Issue: 3
Handle: RePEc:oec:stdkaa:5KZDNHZPZQ8W

Template-type: ReDIF-Article 1.0
Author-Name: Monica Billio
Author-Email: billio@unive.it
Author-Name: Massimiliano Caporin
Author-Name: Guido Cazzavillan
Title: Dating EU15 monthly business cycle jointly using GDP and IPI
Abstract: This paper aims at the production of a chronology for the EU15 business cycle by comparing parametric and non-parametric procedures on monthly and quarterly data as well in a combined approach. The main innovation is the joint use of the monthly series for the EU15 Gross Domestic Product (GDP) and the EU15 Industrial Production Index (IPI) from 1970 to 2003. The monthly IPI and the quarterly GDP at the EU15 level have been reconstructed starting from the available national series. The monthly GDP has then been computed using temporal disaggregation techniques. The obtained chronology is directly comparable to ones produced by several authors for the euro area.
Keywords: Business cycle, Chronology, Historical reconstruction, Monthly GDP
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 333-366
Volume: 2007
Issue: 3
Handle: RePEc:oec:stdkaa:5KZDNHZNWPJF

Template-type: ReDIF-Article 1.0
Author-Name: Anna Stangl
Author-Email: stangl@ifo.de
Title: Internet Business Tendency Surveys
Abstract: The report summarizes the present survey practices in Europe and some countries on other continents. The study was launched on behalf of the European Commission and the OECD in April-July 2006. The aim of the project was to identify the state of present survey practices of the institutions that conduct business tendency surveys world-wide. The questionnaire that was sent to the executive institutions in 45 countries focused on the questions how and to what extent the Internet has been integrated in the institutes' survey practices. 32 institutes have responded to the questionnaire and provided information on their present survey techniques. Among them were all European Union countries (Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta, the Netherlands, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom), two European non- EU countries Switzerland and Norway, as well as some non-European countries (Japan, South Africa and Brazil). The research findings indicate that Internet mode is becoming more and more imperative in Business Tendency Surveys, being a preferable survey mode by a significant proportion of companies, particularly in the service and the manufacturing sectors. The results of the study confirm that the Internet offers a well-suited platform for the harmonization of the data collection methods in the European Union and beyond.
Keywords: Internet surveys, Web surveys, Business surveys, Survey methodology, Mixed-mode surveys
Journal: Journal of Business Cycle Measurement and Analysis
Year: 2008
Pages: 387-399
Volume: 2007
Issue: 3
Handle: RePEc:oec:stdkaa:5KZDNHZMVHKG