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Slowdown or Recession? Forecasts Based on Composite Leading Indicator

Author

Listed:
  • Miroslav Klúcik

    () (Institute of Informatics and Statistics (INFOSTAT))

  • Jana Juriová

    (Institute of Informatics and Statistics (INFOSTAT))

Abstract

The economy of Slovakia experienced a turning point in the 1st half of 2008 and entered a phase of decline. The negative impacts of the global economic crisis became evident in the 2nd half of 2008 and led into a recession in the 1st quarter of 2009. The composite leading indicator was originally intended for forecasting of business cycle turning points between the decline and growth phases. The aim of this paper is to transform the qualitative information from composite leading indicator into quantitative forecast and verify whether the beginning of recession in Slovakia could have been identified in advance. The ARIMAX and error correction models are used for the composite reference series and GDP forecasts respectively. The final result shows that the composite leading indicator is useful not only for identifying turning points, but also for the prediction of recession phase.

Suggested Citation

  • Miroslav Klúcik & Jana Juriová, 2010. "Slowdown or Recession? Forecasts Based on Composite Leading Indicator," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 2(1), pages 17-36, January.
  • Handle: RePEc:psc:journl:v:1:y:2010:i:4:p:17-36
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    File URL: http://www.cejeme.pl/publishedarticles/2010-46-03-634244031661250000-6967.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Pami Dua & Anirvan Banerji, 2006. "Business Cycles in India," Working papers 146, Centre for Development Economics, Delhi School of Economics.
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    Citations

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    Cited by:

    1. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP
      [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]
      ," MPRA Paper 63713, University Library of Munich, Germany.
    2. repec:eee:jebusi:v:93:y:2017:i:c:p:1-14 is not listed on IDEAS

    More about this item

    Keywords

    Global economic crisis; recession; composite leading indicator; ARIMAX model; error correction model;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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