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An Analysis of the Embedded Frequency Content of Macroeconomic Indicators and their Counterparts using the Hilbert-Huang Transform

  • Patrick M. Crowley


  • Tony Schildt

Many indicators of business and growth cycles have been constructed by both private and public agencies and are now in use as monitoring devices of economic conditions and for forecasting purposes. As these indicators are largely composite constructs using other economic data, their frequency composition is likely different to that of the variables that they are used as for indicators.

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Article provided by OECD Publishing,Centre for International Research on Economic Tendency Surveys in its journal OECD Journal: Journal of Business Cycle Measurement and Analysis.

Volume (Year): 2012 (2012)
Issue (Month): 1 ()
Pages: 1-31

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Handle: RePEc:oec:stdkab:5k92snjzsnnr
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  1. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
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  7. Shin-ichi Fukuda & Takashi Onodera, 2001. "A New Composite Index of Coincident Economic Indicators in Japan: How can we improve the forecast performance? ," CIRJE F-Series CIRJE-F-101, CIRJE, Faculty of Economics, University of Tokyo.
  8. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
  9. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, September.
  10. Zarnowitz, Victor & Ozyildirim, Ataman, 2006. "Time series decomposition and measurement of business cycles, trends and growth cycles," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1717-1739, October.
  11. C. Alan Garner, 1991. "Forecasting consumer spending: should economists pay attention to consumer confidence surveys?," Economic Review, Federal Reserve Bank of Kansas City, issue May, pages 57-71.
  12. Carroll, Christopher D & Fuhrer, Jeffrey C & Wilcox, David W, 1994. "Does Consumer Sentiment Forecast Household Spending? If So, Why?," American Economic Review, American Economic Association, vol. 84(5), pages 1397-1408, December.
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