OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency :
3 fois par an
1995-2899 (en ligne)
1995-2880 (imprimé)
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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.


Volume 2012, Numéro 1 You do not have access to this content

Date de publication :
21 nov 2012

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  21 nov 2012 Cliquez pour accéder:  On the Change in the Austrian Business Cycle
Sandra Bilek-Steindl
This paper analyses the change in the Austrian business cycle over time using data back to 1954. The change in the cyclical pattern is captured using a non-linear univariate structural time series model where the time of the break point is estimated. Results for GDP series suggest a break in the frequency of the cycle and in the parameter covering the variance of the disturbances of the cycle taking place in the mid 1970s and early 1980s, respectively. Using data for GDP components a break in these variables is found too, but the timing of the break differs among the series. In a further step the paper assesses the relevance of these findings for forecasting purposes. It is shown that during certain periods the out-of-sample forecasting performance of GDP does improve when a break in one of the two parameters is explicitly modelled.
  21 nov 2012 Cliquez pour accéder:  An Analysis of the Embedded Frequency Content of Macroeconomic Indicators and their Counterparts using the Hilbert-Huang Transform
Patrick M. Crowley, Tony Schildt
Many indicators of business and growth cycles have been constructed by both private and public agencies and are now in use as monitoring devices of economic conditions and for forecasting purposes. As these indicators are largely composite constructs using other economic data, their frequency composition is likely different to that of the variables that they are used as for indicators.
  21 nov 2012 Cliquez pour accéder:  Measuring confidence and uncertainty during the financial crisis
Horst Entorf, Christian Knoll, Liliya Sattarova
The CFS survey covers individual situations of banks and other companies of the financial sector. This provides a rare opportunity to analyse appraisals, expectations and forecast errors of the core sector of the recent financial crisis. Following standard ways of aggregating individual survey data, we first present and introduce the CFS survey by comparing CFS indicators of confidence and predicted confidence to Ifo and ZEW indicators. The major contribution is the analysis of several indicators of uncertainty. In addition to well-established concepts, we introduce innovative measures based on the skewness of forecast errors and on the share of "no response" replies. Results show that uncertainty indicators fit quite well with patterns of real and financial time series of the time period 2007 to 2010. [REPORT]
  21 nov 2012 Cliquez pour accéder:  Euro area business cycles
Atilim Seymen

The role of global, euro area and country-specific shocks in business cycle dynamics of six euro area member countries is assessed with the aid of SVAR models. Output fluctuations are driven by global shocks to a large extent in the euro area, and no Europeanisation of business cycles due to, for example the European Monetary Union, could be established. Business cycle heterogeneity is driven mainly by (asymmetric) country-specific shocks in the euro area and not by heterogeneous responses to common, particularly global, shocks. The cyclical disparity across the member economies is found to be small relative to the size of business cycles.

JEL classification: E32, C32, F00

Keywords: European Monetary Union, international business cycles, common and country-specific shocks, structural vector autoregression

  21 nov 2012 Cliquez pour accéder:  Should transportation output be included as part of the coincident indicators system?
Kajal Lahiri, Wenxiong Yao
With the increasing importance of the service-providing sectors, information from these sectors has become essential to the understanding of contemporary business cycles. This paper explores the usefulness of the transportation services output index (TSI) as an additional coincident indicator in determining the peaks and troughs of US economy. The index represents a service sector that plays a central role in facilitating economic activities between sectors and across regions, and can be useful in monitoring the current state of the economy. We evaluate the marginal contribution of the TSI in identifying cyclical turning points in the context of four currently used NBER indicators. The TSI is found to have advantages over the composite index of coincident indicators in identifying turning points, and has been of critical importance in recent recessions.
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