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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 - Organisation for Economic Co-operation and Development Homepage  [83 journals]
  • 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
  • On the robustness of balance statistics with respect to nonresponse
    • Abstract: A general problem for survey conductors is the fact that the response decision can be connected to the intended answer of the non-respondents. This nonresponse bias might have a substantial effect on the aggregated results. In this paper, a participation framework for the widely used business cycle balance statistics indicators is examined. An extensive simulation study is performed to analyse their effects. The analyses show that these indicators are extremely stable towards nonresponse biases.
      PubDate: 2015-09-07T00:00:00Z
  • What's behind the survey values?
    • Abstract: This paper studies the internal consistency of professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison we also study the Consensus Economics survey and Survey of Professional Forecasts for the US. Forecast uncertainty is explored using two alternative measures, the conventional standard deviation of individual point forecasts and the mean uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters’ price and real GDP expectations are positively related, but that forecasters deviate systematically from each other. We also find clear evidence that individual forecasters form expectations according to the hybrid specification of the New Keynesian Phillips curve. On a micro level, inflation uncertainty seems to be closely related to output uncertainty. However, the relationship between alternative measures of uncertainty is relatively weak.
      PubDate: 2015-09-07T00:00:00Z
  • Tracking economic activity in the euro area
    • Abstract: 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
      PubDate: 2015-09-07T00:00:00Z
  • Russian cyclical indicators and their usefulness in real time. (Report)
    • Abstract: This report investigates the predictability of cyclical turning points in Russia. For years, anyone interested in Russia had access to a full set of common tools for business cycle analysis, such as several composite leading indicators, a purchasing managers’ index, enterprise and consumer sentiment indexes, and so on. However, the 2008-09 world financial crisis spread throughout Russia quite unexpectedly for most politicians, businessmen and experts alike. Is it possible that none of existing indexes were able to say anything about the approaching decline? Using a simple "rule of thumb" proposed in this report one may easily see that that in reality this was not the case. So then why did a more or less definite forecast provided by some indexes have no consequences for common economic sentiments in Russia? This report gives some answers to this question. Keywords: recession; growth cycles; cyclical indicators; leading indicators; turning points; Russia
      JEL classification: E32
      PubDate: 2014-11-13T00:00:00Z
  • Turning point chronology for the euro area
    • Abstract: We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator. Keywords: economic cycles; euro area; recurrence plots; turning points
      JEL classification: C14, C40, E32
      PubDate: 2014-11-13T00:00:00Z
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