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Journal Cover OECD Journal : Journal of Business Cycle Measurement and Analysis
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   Full-text available via subscription Subscription journal
   ISSN (Print) 1995-2880 - ISSN (Online) 1995-2899
   Published by OECD Homepage  [80 journals]
  • Construction of composite business cycle indicators in a scarce data
    • Abstract: Business cycle indicators are important instruments for monitoring economic development. When employing indicators one usually relies on a sound statistical database. This paper deals with indicator development in a scarce data situation. Indicator building is merged with temporal disaggregation, which is often used by statistical offices. The discussed tools are applied in a case study for Abu Dhabi. Because the economy of Abu Dhabi is very dependent on oil, real income reflects the economic situation better than real gross domestic product (GDP). For this reason a measure of real gross domestic income (GDI) was chosen as reference series. Keywords: Business cycle indicators, temporal disaggregation, terms of trade, oilproducing countries
      JEL code: E01, E32, C22
      PubDate: 2015-10-30T00:00:00Z
  • The role of oscillatory modes in US business cycles
    • Abstract: We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in "real" business-cycle models, and that endogenous, deterministically generated variability has to be involved.
      PubDate: 2015-10-30T00:00:00Z
  • Business cycle dynamics
    • Abstract: Business cycle dynamics can be seen as footprints left by individual decision makers. Tracing those footprints we offer a novel, largely model independent and exogenous measure of the business cycle dynamics. This measure also, allows for distinguishing positive and negative shocks without prior estimation. Utilizing more than twentythousand observations of firms surveyed quarterly in the periods (1999-2006), we employ a Markov-chain approach combined with conventional time series econometrics for gauging the dynamics of business cycles. Since we start the analysis with firm level data we label our method the "bottom-up approach".
      PubDate: 2015-10-30T00:00:00Z
  • The world and "The world business cycle chronology"
    • Abstract: Twenty-one individual country business cycle chronologies, maintained and updated by the Economic Cycle Research Institute (ECRI), are analysed for their degree of synchronisation with a proposed "world business cycle chronology". Several key results emerge. First, perhaps not surprisingly, the world’s four 20th Century locomotor economies of the US, UK, Germany and Japan are statistically significantly and reasonably strongly positively synchronised with the world cycle. Second, European countries in the sample are either positively synchronised with the world cycle at zero lag or with a lag of around three months. Third, the NAFTA countries (US, Canada and Mexico) are, perhaps again not unexpectedly, quite strongly positively synchronised with the world cycle at zero lag and with each other. Fourth, the single South American country included in the sample, Brazil, is strongly positively synchronised with the world cycle at zero lag as well as with the NAFTA countries – but behaves very differently from China and India with respect to the world cycle. Fifth, interestingly, the newly industrialized East Asian countries included in the sample appear to lead the world cycle by about three to nine months. Finally, and very interestingly, there appears to be some a priori evidence of a long leading negative synchronisation between the commodity exporting countries in the sample and the world cycle. Key words: world business cycle, synchronisation
      JEL classification: E32, E37
      PubDate: 2015-10-30T00:00:00Z
  • The importance of updating
    • Abstract: How often should we update predictions for economic activity? Gross domestic product is a quarterly variable disseminated usually a couple of months after the end of the quarter, but many other macroeconomic indicators are released with a higher frequency, and financial markets react very strongly to them. However, most of the professional forecasters, including the IMF, the OECD, and most central banks, tend to update their forecasts of economic activity only two to four times a year. The Central Bank of Brazil, not only disseminates its official forecasts every quarter as other central banks, but also collects and publishes the results of professional forecasters’ survey data at a daily frequency. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil Survey and to compare it with the mechanical forecasts based on state-of-the-art nowcasting techniques. Results indicate that both model and market participant predictions are well behaved, i.e. as more information becomes available their accuracy and correlation with the actual realization increases. In terms of performance the model seems to be slightly better than the institutional forecasts in the nowcast and backcast. Keywords: Nowcasting, Updating, Dynamic Factor Model.
      JEL classification: C33, C53, E37.
      PubDate: 2015-10-30T00:00:00Z
  • Cohesion within the euro area and the US: A wavelet-based view
    • Abstract: The analysis of synchronisation of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronisation to assess cohesion across countries or regions by resorting to wavelet analysis. This wavelet-based measure of cohesion allows one to study how synchronisation has evolved over time and across frequencies simultaneously. In particular, we investigate the cohesion among euro area countries and within the US, both at the regional and state levels, over the last decades. In addition, an analysis at the sectoral level is also conducted. The results obtained unveil a noteworthy heterogeneity and highlight the usefulness of a wavelet-based measure of cohesion.
      PubDate: 2015-09-07T00:00:00Z
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
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