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Business cycle indexes: does a heap of data help?

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Author Info
Inklaar, Robert
Jacobs, Jan
Romp, Ward (Groningen University)

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Abstract

Business cycle indexes are used to get a timely and frequent description of the state of the economy and its likely development in the near future. This paper discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that a reliable indicator can be constructed from a limited number of series that are selected using economic logic.

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File URL: http://irs.ub.rug.nl/ppn/258652365
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Publisher Info
Paper provided by University of Groningen, CCSO Centre for Economic Research in its series CCSO Working Papers with number 200312.

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Date of creation: 2003
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Handle: RePEc:dgr:rugccs:200312

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  1. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany. [Downloadable!]
  2. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
    Other versions:
  3. Chris Heaton & Victor Solo, 2006. "Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?," Research Papers 0605, Macquarie University, Department of Economics. [Downloadable!]
  4. A.H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department. [Downloadable!]
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This page was last updated on 2009-11-13.

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