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Journal Cover OECD Journal : Journal of Business Cycle Measurement and Analysis
   Full-text available via subscription Subscription journal
     ISSN (Print) 1995-2880 - ISSN (Online) 1995-2899
     Published by OECD - Organisation for Economic Co-operation and Development Homepage  [83 journals]
  • Short-term forecasting of French GDP growth using dynamic factor models
    • Abstract: In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set of around one hundred variables including survey balances and real, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start of the quarter. We also show that the inclusion of international and financial variables can improve forecasts at the longest horizons.
      PubDate: 2014-06-11T00:00:00Z
  • General introduction
    • Abstract: Short-term forecasting methods joint issue with Économie et PrévisionThis issue is a special issue in two respects. First, all contributions deal with shortterm forecasting methods. Second and above all, this special issue results from an original and fruitful collaboration between two scientific journals: Économie et Prévision and the Journal of Business Cycle Measurement and Analysis (JBCMA).
      PubDate: 2014-06-11T00:00:00Z
  • Dynamic factor models: A review of the literature
    • Abstract: In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealing with the construction of economic outlook indicators, macroeconomic forecasts, and both macroeconomic and monetary policy analyses.
      PubDate: 2014-06-11T00:00:00Z
  • New indicators for tracking growth in real time
    • Abstract: We develop monthly indicators for tracking short-run trends in real GDP growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good real GDP growth forecasts relative to a range of time series models.
      PubDate: 2014-06-11T00:00:00Z
  • Constructing a conditional GDP fan chart with an application to French
           business survey data
    • Abstract: Interval confidence and density forecasts, notably in the form of "fan charts", are useful tools to describe the uncertainty inherent to any point forecast. However, the existing techniques suffer from several drawbacks. We propose a new method to represent uncertainty in realtime that is conditional upon the economic outlook, non-parametric and reproducible. Moreover, we build a Forecasting Risk Index associated with our fan chart to measure the intrinsic difficulty of the forecasting exercise. Using balances of opinion of different business surveys carried out by the French statistical institute INSEE, our GDP fan chart efficiently captures the growth stall during the crisis on a real-time basis. Our Forecasting Risk Index has increased substantially in this period of turbulence, showing signs of growing uncertainty. Keywords: Density forecast, quantile regressions, business tendency surveys, fan charts JEL classification: E32, E37, E66, C22
      PubDate: 2014-06-11T00:00:00Z
  • Do business tendency surveys help in forecasting employment?
    • Abstract: This study investigates the usefulness of business tendency surveys collected at the KOF Swiss Economic Institute and aggregated in the form of the KOF Employment Indicator for short-term forecasting of employment in Switzerland. We use a real-time dataset in order to simulate the actual predictive process using only information that was available at the time when predictions were made. We evaluate the predictive content of the KOF Employment Indicator both for nowcasts that are published two months before the first official release, and for one-quarter ahead forecasts published five months before the first official release. We find that inclusion of the KOF Employment Indicator leads to a substantial improvement in prediction accuracy of both point and density forecasts compared to the performance of a benchmark autoregressive model.
      PubDate: 2014-06-11T00:00:00Z
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