OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency :
3 times a year
ISSN :
1995-2899 (online)
ISSN :
1995-2880 (print)
DOI :
10.1787/19952899
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OECD Journal: 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 www.ciret.org/jbcma). Published as a part of the OECD Journal package.

 

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Mark Number Date Article Volume and Issue Click to Access
  31 July 2014 Dating business cycle turning points
Ekaterini Tsouma

This paper establishes a reference chronology for the Greek business cycle from early 1970 to late 2012, against the backdrop of the late 2000s global recession and the most recent domestic economic developments, which once again stress the significance of dating business cycle turning points. The derivation of the exact dates of switches between expansions and recessions allows the identification of the point in time at which the Greek economy entered the recent recessionary business cycle regime in the late 2000s and the verification of the assertion that, up to the end of 2012, it had not yet exited the recession. We rely on both non-parametric and parametric procedures in order to check the coherence among the obtained turning points and evaluate the establishment of a reference chronology. We use quarterly GDP data and selected monthly indicators covering important sectors and activities in the Greek economy. On the basis of the obtained exact turning point dates and the indications provided by several business cycle and phases characteristics, we are able to propose a reference chronology for Greece and outline stylised facts of the Greek business cycle for a time period of over 40 years. Our findings clearly suggest that the Greek economy entered a recessionary business cycle regime in 2008 which was continued throughout 2012.

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  11 June 2014 Do business tendency surveys help in forecasting employment?
Boriss Siliverstovs

This study investigates the usefulness of business tendency surveys collected at the KOF Swiss Economic Institute and aggregated in the form of the KOF Employment Indicator for short-term forecasting of employment in Switzerland. We use a real-time dataset in order to simulate the actual predictive process using only information that was available at the time when predictions were made. We evaluate the predictive content of the KOF Employment Indicator both for nowcasts that are published two months before the first official release, and for one-quarter ahead forecasts published five months before the first official release. We find that inclusion of the KOF Employment Indicator leads to a substantial improvement in prediction accuracy of both point and density forecasts compared to the performance of a benchmark autoregressive model.

Volume 2013 Issue 2 Click to Access: 
    http://oecd.metastore.ingenta.com/content/3313021ec001.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/do-business-tendency-surveys-help-in-forecasting-employment_jbcma-2013-5k4bxlxjkd32
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  11 June 2014 Constructing a conditional GDP fan chart with an application to French business survey data
Matthieu Cornec

Interval confidence and density forecasts, notably in the form of "fan charts", are useful tools to describe the uncertainty inherent to any point forecast. However, the existing techniques suffer from several drawbacks. We propose a new method to represent uncertainty in realtime that is conditional upon the economic outlook, non-parametric and reproducible. Moreover, we build a Forecasting Risk Index associated with our fan chart to measure the intrinsic difficulty of the forecasting exercise. Using balances of opinion of different business surveys carried out by the French statistical institute INSEE, our GDP fan chart efficiently captures the growth stall during the crisis on a real-time basis. Our Forecasting Risk Index has increased substantially in this period of turbulence, showing signs of growing uncertainty.

Keywords: Density forecast, quantile regressions, business tendency surveys, fan charts

JEL classification: E32, E37, E66, C22

Volume 2013 Issue 2 Click to Access: 
    http://oecd.metastore.ingenta.com/content/3313021ec004.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/constructing-a-conditional-gdp-fan-chart-with-an-application-to-french-business-survey-data_jbcma-2013-5jz417xzw931
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  11 June 2014 Dynamic factor models: A review of the literature
Karim Barhoumi, Olivier Darné, Laurent Ferrara

In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealing with the construction of economic outlook indicators, macroeconomic forecasts, and both macroeconomic and monetary policy analyses.

Volume 2013 Issue 2 Click to Access: 
    http://oecd.metastore.ingenta.com/content/3313021ec005.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/dynamic-factor-models_jbcma-2013-5jz417f7b7nv
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  11 June 2014 New indicators for tracking growth in real time
Troy D. Matheson

We develop monthly indicators for tracking short-run trends in real GDP growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good real GDP growth forecasts relative to a range of time series models.

Volume 2013 Issue 2 Click to Access: 
    http://oecd.metastore.ingenta.com/content/3313021ec002.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/new-indicators-for-tracking-growth-in-real-time_jbcma-2013-5jz741mh2czs
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  11 June 2014 Short-term forecasting of French GDP growth using dynamic factor models
Marie Bessec, Catherine Doz

In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set of around one hundred variables including survey balances and real, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start of the quarter. We also show that the inclusion of international and financial variables can improve forecasts at the longest horizons.

Volume 2013 Issue 2 Click to Access: 
    http://oecd.metastore.ingenta.com/content/3313021ec003.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/short-term-forecasting-of-french-gdp-growth-using-dynamic-factor-models_jbcma-2013-5jz742l0pt8s
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  11 June 2014 General introduction
Hélène Erkel-Rousse, Michael Graff

Short-term forecasting methods joint issue with Économie et PrévisionThis issue is a special issue in two respects. First, all contributions deal with shortterm forecasting methods. Second and above all, this special issue results from an original and fruitful collaboration between two scientific journals: Économie et Prévision and the Journal of Business Cycle Measurement and Analysis (JBCMA).

Volume 2013 Issue 2 Click to Access: 
    http://oecd.metastore.ingenta.com/content/3313021ec006.pdf
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/general-introduction_jbcma-2013-5jz40rtc648w
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