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Robust Quarterization of GDP and Determination of Business Cycle Dates for IGC Partner Countries

Author

Listed:
  • Abdullah Tahir

    (State Bank of Pakistan)

  • Jameel Ahmed

    (State Bank of Pakistan)

  • Waqas Ahmed

    (State Bank of Pakistan)

Abstract

Business cycle dating, macroeconomic analysis and ex-ante policy prescription based on macroeconomic variables at annual data frequency is inadequate; as high frequency information on the state of the economy, otherwise inherent in quarterly data is averaged out at such low frequency. We use a robust method of disaggregating quarterly series from annual data, such that the aspect and information about the intervening business cycles is preserved. Extracting an orthogonal factor, which encompasses common variation (co-movements) of leading indicators of economic activity at quarterly data frequency, we use seemingly unrelated time series equation (SUTSE) model to disaggregate the annual GDP data into quarterly frequency. Utility of the quarterly GDP estimates is illustrated by (i) determining business cycle dates using a non-parametric Bry-Boschan (1971) algorithm and (ii) estimating the potential GDP and output gap for each of the 11 International Growth Center (IGC) partner countries.

Suggested Citation

  • Abdullah Tahir & Jameel Ahmed & Waqas Ahmed, 2018. "Robust Quarterization of GDP and Determination of Business Cycle Dates for IGC Partner Countries," SBP Working Paper Series 97, State Bank of Pakistan, Research Department.
    • Handle: RePEc:sbp:wpaper:97
    as

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    File URL: http://www.sbp.org.pk/publications/wpapers/2018/wp97.pdf
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    References listed on IDEAS

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    2. Sarwar, Muhammad Nadeem & Hussain, Hamid & Maqbool, Muhammad Bilal, 2020. "Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach," Resources Policy, Elsevier, vol. 69(C).
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    5. Muhammad Nadim Hanif & Sajjad Zaheer & Javed Iqbal, 2022. "Time-Frequency Analysis of Determinants of Inflation Rate in Pakistan," SBP Working Paper Series 111, State Bank of Pakistan, Research Department.

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    More about this item

    Keywords

    Temporal Disaggregation; Business Cycle Dates; Dynamic Linear Model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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