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Identification of Industrial Cycle Leading Indicators Using Causality Test

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  • Rafal Kasperowicz

    (Poznan University of Economics)

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    Abstract

    The biggest business activity fluctuation analysts’ attention is focused on leading indicators. It is due to their utility in forecasting resulting form their properties. Leading indicators are aggregates describing a part of economy (e.g. sector, branch) and, therefore, they also partly anticipate new behaviours of the whole of the economy. The first aim of the paper is to identify industrial business cycle leading indicators in Poland. The second aim is to estimate a leading index of cyclical fluctuations of industry. When identifying the fluctuations, first one has to purify the time-series of incidental and seasonal fluctuations. Then, the time-series underwent the adjustment procedure Census X11 and Hodrick-Prescott’s filter. This is the way in which the cyclical fluctuations of the time-series were obtained. Seeking variables determining leading indicators of the reference variable was conducted on the basis of Granger causality analysis. Series selected in that way were used to create a forecasting econometric model (leading index).

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    File URL: http://www.equilibrium.umk.pl/plikidopobrania/2010_2_kasperowicz.pdf
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    Bibliographic Info

    Article provided by Uniwersytet Mikolaja Kopernika in its journal Equilibrium.

    Volume (Year): 2 (5) (2010)
    Issue (Month): ()
    Pages: 47-59

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    Handle: RePEc:cpn:umkequ:2010:v2:4

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    Web page: http://www.wydawnictwoumk.pl

    Related research

    Keywords: business cycle; industrial fluctuations; leading indicators; leading index; Granger causality;

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    1. Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2000. "The Composite Index of Leading Economic Indicators: How to Make it More Timely," Economics Program Working Papers 00-04, The Conference Board, Economics Program.
    2. Beatrice N. Vaccara & Victor Zarnowitz, 1978. "Forecasting with the Index of Leading Indicators," NBER Working Papers 0244, National Bureau of Economic Research, Inc.
    3. Philip A. Klein & Geoffrey H. Moore, 1982. "The Leading Indicator Approach to Economic Forecasting--Retrospect and Prospect," NBER Working Papers 0941, National Bureau of Economic Research, Inc.
    4. Francis X. Diebold & Glenn D. Rudebusch, 1987. "Scoring the leading indicators," Special Studies Papers 206, Board of Governors of the Federal Reserve System (U.S.).
    5. Auerbach, Alan J, 1982. "The Index of Leading Indicators: "Measurement without Theory," Thirty-Five Years Later," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 589-95, November.
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