OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency :
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
  13 Nov 2014 Russian cyclical indicators and their usefulness in real time. (Report)
Sergey V. Smirnov

This report investigates the predictability of cyclical turning points in Russia. For years, anyone interested in Russia had access to a full set of common tools for business cycle analysis, such as several composite leading indicators, a purchasing managers’ index, enterprise and consumer sentiment indexes, and so on. However, the 2008-09 world financial crisis spread throughout Russia quite unexpectedly for most politicians, businessmen and experts alike. Is it possible that none of existing indexes were able to say anything about the approaching decline? Using a simple "rule of thumb" proposed in this report one may easily see that that in reality this was not the case. So then why did a more or less definite forecast provided by some indexes have no consequences for common economic sentiments in Russia? This report gives some answers to this question.

Keywords: recession; growth cycles; cyclical indicators; leading indicators; turning points; Russia
JEL classification: E32

Volume 2014 Issue 1 Click to Access: 
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/russian-cyclical-indicators-and-their-usefulness-in-real-time_jbcma-2014-5jxx568wcfhd
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  13 Nov 2014 Turning point chronology for the euro area
Peter Martey ADDO, Monica Billio, Dominique Guégan

We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator.

Keywords: economic cycles; euro area; recurrence plots; turning points
JEL classification: C14, C40, E32

Volume 2014 Issue 1 Click to Access: 
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/turning-point-chronology-for-the-euro-area_jbcma-2014-5jxwz80d73q8
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  13 Nov 2014 Making leading indicators more leading
Marco Gallegati

This paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyse the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based index which combines several scale-based subindexes is constructed by using a scale-by-scale selection of the components included in the OECD composite leading indicator (CLI) for the US. The comparison with the CLI and its derived measures indicate that the wavelet-based composite index tends to provide early signals of business cycle turning points well in advance of the OECD CLI. Moreover we find that the reliability of the signals tends to increase considerably when the sub-index obtained from the time scale components corresponding to minor cycles, that is, 2-4 years, is removed from the overall wavelet-based index.

Keywords: wavelets; composite leading indicators; early warning signals
JEL classification: C1; C3; C5; E3

Volume 2014 Issue 1 Click to Access: 
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/making-leading-indicators-more-leading_jbcma-2014-5jxx56gqmhf1
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  13 Nov 2014 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

Volume 2014 Issue 1 Click to Access: 
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/identifying-leading-indicators-of-real-activity-and-inflation-for-turkey-1988-2010_jbcma-2013-5k4221j86n8v
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  13 Nov 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.

Volume 2014 Issue 1 Click to Access: 
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  • http://www.keepeek.com/Digital-Asset-Management/oecd/economics/dating-business-cycle-turning-points_jbcma-2014-5jz0sr0pnhs8
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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: 
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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: 
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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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