OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency :
Semiannual
ISSN :
1995-2899 (online)
ISSN :
1995-2880 (print)
DOI :
10.1787/19952899
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OECD Journal: Journal of Business Cycle Measurement and Analysis is jointly published by the OECD and the Centre for International Research on Economic Tendency Surveys (CIRET) to promote the exchange of knowledge and information on theoretical and operational aspects of economic cycle research, involving both measurement and analysis (see www.ciret.org/jbcma). Now published as a part of the OECD Journal package.

Article
 

A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators You do not have access to this content

Authors:
Hiroshi Yamada
Publication Date
05 Jan 2012
Pages
8
Bibliographic information
No.:
8,
Volume:
2011,
Issue:
2
Pages
105–109
DOI
10.1787/jbcma-2011-5kg0pb01sbbt

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The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPband-pass filter. This note examines whether the application of these two alternative HPband-pass filters in the calculations of the OECD’s CLIs lead to negligible differences.
JEL Classification: E32; C22
Keywords: Hodrick-Prescott band-pass filter; Composite leading indicators.© beawolf - Fotolia.com