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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)

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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Bibliographic 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. n/a, 2002. "Credibility of the Russian Stabilisation Programme in 1995-98," NIESR Discussion Papers 149, National Institute of Economic and Social Research.
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Cited by:
  1. Jan Jacobs & Pieter Otter & Ard den Reijer, 2007. "Information, data dimension and factor structure," DNB Working Papers 150, Netherlands Central Bank, Research Department.
  2. Camacho, Maximo & Pérez-Quirós, Gabriel, 2009. "Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth," CEPR Discussion Papers 7343, C.E.P.R. Discussion Papers.
  3. Ard H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department.
  4. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  5. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
  6. Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2012. "Stylized Facts for Business Cycles in Turkey," Working Papers 1202, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia.
  8. Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2011. "Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini," CBT Research Notes in Economics 1103, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  9. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.

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