Journal of Business Cycle Measurement and Analysis

Frequency :
3 times a year
1729-3626 (online)
1729-3618 (print)
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The 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 Now published as a part of the OECD Journal.

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Volume 2004, Issue 1 You do not have access to this content

Publication Date :
12 Dec 2003

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  12 Dec 2003 Click to Access:  Survey Expectations, Rationality and the Dynamics of Euro Area Inflation
Magnus Forsells, Geoff Kenny

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...

  12 Dec 2003 Click to Access:  Modelling Short-term Interest Rates in the Euro Area Using Business Survey Data
Renata Grzeda Latocha, Gernot Nerb

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...

  12 Dec 2003 Click to Access:  Quantification of Qualitative Survey Data and Test of Consistent Expectations
Christian M. Dahl, Lin Xia

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...

  12 Dec 2003 Click to Access:  Detection of Turning Points in Business Cycles
Eva Andersson, David Bock, Marianne Frisén

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...

  12 Dec 2003 Click to Access:  Coincident and Leading Indicators of Manufacturing Industry
Richard Etter, Michael Graff

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...

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