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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]
  • Reverse-engineering the business cycle with Petri nets
    • Abstract: Petri nets are used to extract information from the complex and negative eigenvalues of a von Neumann model employing the US sector-level use tables from 1997 to 2013. The complex eigenvalues show a cyclical component having a period of about 10 years. Sectors that contribute most to the cyclical component are agriculture, mining, retail trade, construction, and utilities. Negative eigenvalues indicate the instability in the economy from 1997 to 2009. In 2010 a Neimark-Sacker bifurcation boundary is crossed, beyond which the economy exhibits damping. The point of critical damping is approached in 2012. In 2013 the economy exhibits over-damping. Keywords: Petri net, von Neumann growth model, Leontief model, eigenvalue, business cycle, use table, Neimark-Sacker bifurcation, over-damping
      JEL classification: C65, C67, E32
      PubDate: 2016-06-24T00:00:00Z
       
  • The Swedish business cycle, 1969-2013
    • Abstract: The aim of this paper is to apply a non-stationary, non-parametric method to date the Swedish business cycle where no official dating method exists, defined as the common dynamic of some macroeconomic time series. The method draws on a paper where the business cycle for the euro area by Holm (2011) was found and the method worked well and closely matched the dates found by the Centre for Economic Policy Research, CEPR. In this paper five recessions were found for Sweden in the 1969-2013 period. Keywords: Business cycle, non-parametric smoothing, non-stationarity
      JEL: C14, C32, E32
      PubDate: 2016-06-24T00:00:00Z
       
  • A comparison of economic indicator analysis and Markov switching methods
           concerning the cycle phase dynamics
    • Abstract: This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI.
      PubDate: 2016-06-24T00:00:00Z
       
  • The role of data revisions and disagreement in professional forecasts
    • Abstract: This study has two primary objectives: 1) To investigate whether official data releases of macroeconomic indicators are systematically revised 2) To evaluate the accuracy and disagreement of professional forecasters with respect to initial releases and final values. The analyses are applied to individual forecasts and real-time releases using a unique data set regarding 52 macroeconomic indicators for the US, the Eurozone, and Germany for the period of 1999-2010. The empirical analysis of data revisions shows that some indicators are considerably and systematically revised. Forecasters tend to account for systematic revisions and try to predict final values for certain indicators. For others, forecasters appear to be targeting initial releases, even though these indicators are systematically revised. In the latter case, forecasters use information inefficiently. Forecasters’ disagreement regarding fundamentals is higher during domestic recessions and when the national stock market is volatile. Keywords: Rational expectations, macroeconomic indicators, disagreement, survey analysis, real-time data
      JEL classification: D81, D84, E17
      PubDate: 2016-06-24T00:00:00Z
       
  • Frequency based co-movement of inflation in selected euro area countries
    • Abstract: This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy. Keywords: Co-movement, wavelets, time-frequency, inflation cycles
      JEL classification: C40, E31, E32, F44
      PubDate: 2016-06-24T00:00:00Z
       
  • Construction of composite business cycle indicators in a scarce data
           environment
    • 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
       
 
 
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