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Computing turning point monthly probability of the Argentinian economy according to the leading index: 1973 - 2000

Author

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  • Juan Mario Jorrat
  • Ana María Cerro

    ()

Abstract

Two indicators of the Argentinean economic cycle prove to be useful for economic forecasts, the leading and coincident indexes. The former points out the level of economic activity monthly. The latter anticipates the future direction of the economy. The purpose of this paper is to estimate the monthly peak and trough probabilities, in the business and growth cycles using the Neftci’s sequential probability recursion. We first determine the probability density function that best adjusts to the observed frequency of the monthly leading index rate of change. The results obtained by the probabilities are evaluated in each case.

Suggested Citation

  • Juan Mario Jorrat & Ana María Cerro, 2000. "Computing turning point monthly probability of the Argentinian economy according to the leading index: 1973 - 2000," Estudios de Economia, University of Chile, Department of Economics, vol. 27(2 Year 20), pages 279-295, December.
  • Handle: RePEc:udc:esteco:v:27:y:2000:i:2:p:279-295
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    File URL: http://www.econ.uchile.cl/uploads/publicacion/03113aa8-8328-4d87-b816-1eb556c7e556.pdf
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    References listed on IDEAS

    as
    1. Zarnowitz, Victor & Moore, Geoffrey H, 1982. "Sequential Signals of Recession and Recovery," The Journal of Business, University of Chicago Press, vol. 55(1), pages 57-85, January.
    2. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
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    Cited by:

    1. Pablo Galaso & Sandra Rodriguez, 2014. "A composite leading cycle indicator for Uruguay," Documentos de Trabajo (working papers) 14-09, Instituto de Economía - IECON.
    2. Marcos Dal Bianco & Jaime Martinez-Martín & Maximo Camacho, 2013. "Short-Run Forecasting of Argentine GDP Growth," Working Papers 1314, BBVA Bank, Economic Research Department.

    More about this item

    Keywords

    Economic cycles; Argentina; leading index.;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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