Journal of Business Cycle Measurement and Analysis

Frequency
3 times a year
ISSN: 
1729-3626 (online)
ISSN: 
1729-3618 (print)
DOI: 
10.1787/17293626
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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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An Evaluation of Japanese Leading Indicators You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3307021ec005.pdf
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Author(s):
Hiroshi Yamada, Yuzo Honda, Yasuyoshi Tokutsu
10 Mar 2008
Pages:
17
Bibliographic information
No.:
12,
Volume:
2007,
Issue:
2
Pages:
217–233
DOI: 
10.1787/jbcma-v2007-art12-en

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This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not the leading composite index and its component series truly lead the business cycle turning point dates officially determined by the Japanese government. We argue that if we utilize the evaluated properties of the component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provide one such example.

 
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