Journal of Business Cycle Measurement and Analysis

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3 times a year
ISSN: 
1729-3626 (online)
ISSN: 
1729-3618 (print)
http://dx.doi.org/10.1787/17293626
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

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Volume 2005, Issue 2 You do not have access to this content

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  08 Nov 2005
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    http://oecd.metastore.ingenta.com/content/3305021ec002.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/forecast-evaluation-of-european-commission-survey-indicators_jbcma-v2005-art2-en
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Forecast Evaluation of European Commission Survey Indicators
Christian Gayer

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.

  08 Nov 2005
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    http://oecd.metastore.ingenta.com/content/3305021ec003.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/inflation-targeting-and-consumer-inflation-expectations-in-poland_jbcma-v2005-art3-en
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Inflation Targeting and Consumer Inflation Expectations in Poland
Tomasz Lysiak

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.

  08 Nov 2005
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    http://oecd.metastore.ingenta.com/content/3305021ec004.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/a-generalized-dynamic-factor-model-for-the-belgian-economy_jbcma-v2005-art4-en
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A Generalized Dynamic Factor Model for the Belgian Economy
Christophe van Nieuwenhuyze

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.

  08 Nov 2005
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    http://oecd.metastore.ingenta.com/content/3305021ec005.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/optimism-pessimism-and-the-unforeseen_jbcma-v2005-art5-en
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Optimism, Pessimism and the Unforeseen
Friedrich L. Sell

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.

  08 Nov 2005
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    http://oecd.metastore.ingenta.com/content/3305021ec006.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/forecasting-corporate-investment_jbcma-v2005-art6-en
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Forecasting Corporate Investment
Nicolas Ferrari

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".

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