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 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/bcma). Now published as a part of the OECD Journal.

Article
 

An Evaluation of Japanese Leading Indicators You do not have access to this content

 
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Author(s):
Hiroshi Yamada, Yuzo Honda, Yasuyoshi Tokutsu
Publication Date
10 Mar 2008
Pages
12
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.