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.

 

Volume 2010, Issue 1 You do not have access to this content

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  24 Sep 2010
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    http://oecd.metastore.ingenta.com/content/3310011ec001.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/estimating-and-forecasting-the-euro-area-monthly-national-accounts-from-a-dynamic-factor-model_jbcma-2010-5kmmsxgf2qbs
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Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
Elena Angelini, Marta Banbura, Gerhard Rünstler

We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components.

  24 Sep 2010
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    http://oecd.metastore.ingenta.com/content/3310011ec004.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/do-benchmark-revisions-affect-the-consumption-to-output-and-investment-to-output-ratios-in-germany_jbcma-2010-5kmk0bhqqjtf
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Do benchmark revisions affect the consumption-to-output and investment-to-output ratios in Germany?
Thomas A. Knetsch, Hans-Eggert Reimers

The balanced growth and stochastic growth theory implies stable consumption-to-output and investment-to-output ratios. It is tested by cointegration techniques for three different German data vintages. Systems cointegration tests are helpful in revealing inconsistencies across vintages. Differencing and rebasing, often used to adjust for benchmark revisions, are generally not sufficient to ensure consistent real-time macroeconomic data. Vintage transformation functions estimated by cointegrating regressions are more flexible. Empirically, the cointegrating property between consumption and output, as well as between investment and output, is often found, whereas the one-to-one relationship is mostly rejected. Moreover, the linear transformation function is helpful in describing the relation between two older final vintages. This function seems to be insufficient if the most recent data collection framework is involved.

  24 Sep 2010
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    http://oecd.metastore.ingenta.com/content/3310011ec002.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/evaluating-german-business-cycle-forecasts-under-an-asymmetric-loss-function_jbcma-2010-5kmlj35rx10s
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Evaluating German business cycle forecasts under an asymmetric loss function
Jörg Döpke, Ulrich Fritsche, Boriss Siliverstovs

Based on annual data for growth and inflation forecasts for Germany covering the 1970-2007 period and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters’ loss function and estimate the degree of asymmetry for each forecasting institution using the approach of Elliot et al. (2005). Furthermore, we test for the rationality of the forecasts under the assumption of a possibly asymmetric loss function and for the features of an optimal forecast under the assumption of a generalised loss function. We find evidence of the existence of an asymmetric loss function of German forecasters only in the case of pooled data and a quad-quad loss function. We can reject the hypothesis of rationality of the growth forecasts based on a pooled dataset, but not on data for single institutions. The rationality of inflation forecasts is frequently rejected in the case of single institutions, and also for pooled data.

  24 Sep 2010
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    http://oecd.metastore.ingenta.com/content/3310011ec003.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/chain-linking-in-austrian-quarterly-national-accounts-and-the-business-cycle_jbcma-2010-5kmk18msndxq
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Chain-linking in Austrian quarterly national accounts and the business cycle
Marcus Scheiblecker

In 2005, European Union member countries began to calculate national account volume estimates using prices from the previous year, rather than from a fixed base year. For quarterly national accounts, the average of the total previous year – and not of the previous quarter – began to serve as the price basis. This allows for the use of a Laspeyres-type quantity index. In order to obtain a time series of absolute values of volume estimates, it is necessary to chain-link growth rates. This is straightforward when calculating annual figures, but when calculating quarterly figures, EU countries can choose from one of three methods. This results in different outputs, time-series properties and, possibly, price-adjusted quarterly national account figures. The current study demonstrates the different results obtained using the three methods, when applied to Austrian quarterly GDP data. I observe the consequences of consecutive time-series-based processing, such as seasonal adjustment and business cycle analysis. Although dating turning points are rather robust using all three methods, seasonal and workday adjustment and detection of outliers based on time-series modelling can be negatively affected, as can business cycle dating.

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