OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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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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  27 Feb 2009
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    http://oecd.metastore.ingenta.com/content/3308011ec002.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/an-optimized-forecast-specification-for-economic-activity_jbcma-v2008-art2-en
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An optimized forecast specification for economic activity
Bernd Brandl

Finding a good forecasting model in a data-rich environment is a complex problem which challenges forecasters and statistical methods. In such an environment, automated modelling strategies are necessary for an efficient use of the information in the data. In contrast to frequently applied methods used for large data sets we propose a model selection approach for dynamic single equation regressions that are used to make forecasts. This paper proposes a new approach for quantitative forecasting that is able to deal with both an increasing number of variables that are potentially important for forecasting, as well as an increasing number of observations simultaneously. Another characteristic of the proposed approach is that evaluation of the goodness of forecast models is based on different criteria. As we are interested in finding forecast models with high-quality criteria we define the search for a forecast model as a multi-criteria optimization problem. We define the quality criteria in our goal function by in-sample measures and out-of-sample measures, as well as by a balance between them, and apply a genetic algorithm to solve this complex, global and discrete multi-criteria optimization problem. The efficiency of the approach is illustrated by forecasting German industrial production based on a data set containing key economic indicators and leading indicators. It is shown that, for short forecast horizons, the proposed approach provides forecasts with a high accuracy.

  27 Feb 2009
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    http://oecd.metastore.ingenta.com/content/3308011ec003.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/trying-to-assess-the-quality-of-macroeconomic-data-the-case-of-swiss-labour-productivity-growth-as-an-example_jbcma-v2008-art3-en
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Trying to assess the quality of macroeconomic data
Jochen Hartwig

Macroeconomic data are indispensable for modern governance, yet it is often unclear how reliable these data are. The production process of macroeconomic data inside the statistical offices is often not very transparent for the general public. Bystanders usually have no choice but to take for granted the published data because criteria by which to judge data quality are wanting. Hoping to contribute to a better understanding of the quality of macroeconomic data, this paper proposes several plausibility checks and applies them to recently published Swiss labour productivity growth figures. Although the proposed checks cannot "prove" or "disprove" the official data, they are capable of either strengthening our confidence in the official data or, alternatively, of casting them into doubt. Policy debates drawing on official data will hardly be able to ignore differences in the degree of confidence with which these data are held to be accurate.

  27 Feb 2009
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    http://oecd.metastore.ingenta.com/content/3308011ec004.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/how-fused-is-the-euro-area-core_jbcma-v2008-art4-en
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How fused is the euro area core?
Patrick M. Crowley, David G. Mayes

This paper uses several recent advances in time-varying spectral methods to analyse the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. There are two main findings. First that coherence and phasing between the three core members of the euro area (France, Germany and Italy) continue to differ, and that for France they increased in the 1990s but not noticeably since the launch of the euro. Second that similarities vary considerably according to the length of cycle. They are high for low frequencies but lower at traditional business cycle frequencies. Simply looking at business cycles loses much of the detail of the extent of co-movement in different frequency cycles within the euro area.

  27 Feb 2009
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    http://oecd.metastore.ingenta.com/content/3308011ec005.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/report-leading-indicators-on-construction-and-retail-trade-sectors-based-on-isae-survey-data_jbcma-v2008-art5-en
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Leading indicators on construction and retail trade sectors based on ISAE survey data
Luciana Crosilla, Solange Leproux

According to the Commission recommendations, ISAE has recently restructured the methodological framework of its survey on firms operating in the Italian construction sector and in retail trade. The innovations specifically regard the sampling design and the weight system for both sectors; this last revision, in particular, allowed the reconstruction of the ISAE historical series. In the light of the changes introduced, first of all the aim of this paper is to analyze the cyclical features and to evaluate the "leading" performances of the new ISAE series with respect to the quantitative ISTAT data. Finally, we are going to build a "leading indicator" for both construction and retail trade in Italy. We first apply the NBER methodology in order to establish the main cyclical features of the series. Then we use cross-correlation analysis to estimate the extent to which the ISAE variables and the ISTAT series are correlated. Later on the Granger causality and out of sample tests were used to evaluate the forecasting performance of the ISAE series. On the basis of the results obtained, we finally build a leading indicator for both sectors, and test its performance comparing the results to those of the confidence index elaborated by ISAE.

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