OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency :
3 times a year
1995-2899 (online)
1995-2880 (print)
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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
  17 Mar 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.

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  17 Mar 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.

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  08 Aug 2013 Identifying leading indicators of real activity and inflation for Turkey, 1988-2010
Sumru Altug, Erhan Uluceviz

This paper develops a set of leading indicators for industrial production growth and changes in consumer price inflation by accounting for changes in the policy regime that have occurred for the Turkish economy over the sample period 1988-2010. The choice of indicators is based on a pseudo out-of-sample forecasting exercise that is implemented by Leigh and Rossi (2002), and Stock and Watson (2003), amongst others. Our findings provide evidence on the factors determining changes in real activity and inflation over an extended sample period that encompasses episodes of volatile inflation and output growth as well as the recent experience of disinflation and normalisation for the Turkish economy.

Keywords: Real activity, inflation, leading indicators, out-of-sample forecasting, combination forecasts, inflation targeting, Turkey.
JEL classification: E1, E32, E37, E58, F43, O52

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  19 July 2013 The Portuguese stock market cycle
Vitor Castro
This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration-dependent Markov-switching model is estimated over monthly growth rates of the Portuguese stock index for the period January 1989 to April 2012. Six episodes of bull/bear markets are identified during that period, as well as the presence of positive duration dependence in bear but not in bull markets.
Volume 2013 Issue 1 Click to Access: 
  19 July 2013 Business cycle synchronisation in the European Union
Periklis Gogas

In this paper, I analyse the synchronisation of business cycles within the European Union (EU), as this is an important ingredient for the implementation of a successful monetary policy. The business cycles of twelve EU countries and two sub-groups of countries are extracted for the period 1989Q1-2010Q2. The cycle of G3, the group of the three largest European economies (Germany, France and Italy) is then used as a benchmark series for the comparisons. The sensitivity of the data to alternative cycle extraction methodologies is explored employing the Hodrick-Prescott and Baxter-King filters using alternative parameter specifications and leads/lags. The strength of cycle synchronisation is measured using linear regressions, crosscorrelation coefficients and the Cycle Synchronisation Index (CSI). To assess whether synchronisation is stronger after the introduction of the common currency, we also test two sub-samples pre- and post-EMU (1999Q1). The empirical results provide evidence that cycle synchronisation within the euro area has become stronger in the common currency period.

Volume 2013 Issue 1 Click to Access: 
  19 July 2013 A note on the cyclical behaviour of the income distribution
Burkhard Heer

Empirically, the income share is procyclical for the low-income groups and acyclical for the top 5%. To generate this kind of behaviour in a DGE business cycle model, we consider overlapping generations and elastic labour supply in addition to those elements considered by Castañeda et al. (1998). We also analyse a model with rigid wages. However, these features do not help to constitute a major improvement vis-a-vis their model.

JEL classification: C68, D31, E32
Keywords: Income distribution, business cycle, overlapping generations, unemployment, pensions

Volume 2013 Issue 1 Click to Access: 
  19 July 2013 Extracting GDP signals from the monthly indicator of economic activity
Michael Pedersen

Real-time data are analysed for information on the Chilean monthly economic activity indicator IMACEC and what it indicates of the final GDP, defined as the growth rate that has been subject to at least two annual revisions. Data are presented and revisions analysed briefly. Mincer-Zarnowitz tests suggest that forecast rationality is rejected with respect to the three-month IMACEC growth rate as a nowcast of the first released quarterly GDP, as well as the first published GDP as a nowcast of the final GDP.
An out-of-sample nowcasting analysis was conducted using only data which were available in real-time. The results show that small models nowcast better than less parsimonious ones. The evidence from the empirical study suggests no improvement in the nowcasting performance when historical data are supplemented with the first monthly IMACEC of the quarter. On the other hand, when two monthly observations IMACEC are available, the root mean squared nowcast error (RMSNE) decreases by 24%, and a further decline of 33% is obtained when the third monthly observation of the quarter is published. Both of these advances are statistically significant. No further improvement is obtained with the publication of the first release of the quarterly GDP.

JEL classifications: C89, E17
Keywords: Real-time data, data revisions, nowcasting

Volume 2013 Issue 1 Click to Access: 
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