OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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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.

Article
 

Tracking economic activity in the euro area

Multivariate direct filter approach You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3314021ec002.pdf
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Author(s):
Ginters Buss
07 Sep 2015
Pages:
21
Bibliographic information
No.:
10,
Volume:
2014,
Issue:
2
Pages:
5–25
http://dx.doi.org/10.1787/jbcma-2014-5js0bcts1433

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The paper applies the multivariate direct filter approach on selected business and consumer confidence indicators, and share price data to construct a real-time indicator tracking the medium-to-long-run component of the quarterly growth of the euro area gross domestic product. Results show that the created indicator behaves similarly to another established indicator, Eurocoin, but slightly leads it after mid 2009. The new indicator is also compared to the Markit Euro Area Composite Purchasing Managers Index and is found to be leading it by about one month as well as being smoother. Overall, the multivariate direct filter approach is found to have merit in tracking business cycle developments, however, the increasing number of free coefficients is an issue for the filter to be applied to detailed datasets.

Keywords: real-time signal extraction, business cycles, multivariate time series
JEL classification: C13, C32, E32

 
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