Journal of Business Cycle Measurement and Analysis

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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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Mark Number Date Article Volume and Issue Click to Access
  22 July 2008 Internet Business Tendency Surveys
Anna Stangl

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.

Volume 2007 Issue 3 Click to Access: 
  22 July 2008 The Cyclical and Trend Behavour of Australian Investment and Savings
Bruce Felmingham, Arusha Cooray

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.

Volume 2007 Issue 3 Click to Access: 
  22 July 2008 Dating EU15 monthly business cycle jointly using GDP and IPI
Monica Billio, Massimiliano Caporin, Guido Cazzavillan

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.

Volume 2007 Issue 3 Click to Access: 
  22 July 2008 Nonparametric Forecasting of the Manufacturing Output Growth with Firm-level Survey Data
Gérard Biau, Olivier Biau, Laurent Rouvière

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.

Volume 2007 Issue 3 Click to Access: 
  22 July 2008 Macroeconomic Forecasting
Stefano Siviero, Daniele Terlizzese

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.

Volume 2007 Issue 3 Click to Access: 
  10 Mar 2008 Current Period Performance of OECD Composite Leading Indicators
Ronny Nilsson, Emmanuelle Guidetti

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.

Volume 2007 Issue 2 Click to Access: 
  10 Mar 2008 An Evaluation of Japanese Leading Indicators
Hiroshi Yamada, Yuzo Honda, Yasuyoshi Tokutsu

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.

Volume 2007 Issue 2 Click to Access: 
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