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Dating and Forecasting the Belgian Business Cycle

Author

Listed:
  • Vincent, BODART

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

  • Konstantin A., KHOLODILIN

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

  • Fati, SHADMAN-MEHTA

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

Abstract

This paper investigates the Belgian business cycle. It establishes a chronology of cycles over the period 1980-2002 using real GDP, which it suggests can be regarded as a reference cycle. It then uses this chronology to evaluate the performance of alternative business cycle indicators in terms of their ability to predict business cycle turning points. We also investigate to what extent these indicators help improve forecasting the Belgian GDP growth.

Suggested Citation

  • Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," LIDAM Discussion Papers IRES 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvir:2003018
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    File URL: http://sites.uclouvain.be/econ/DP/IRES/2003-18.pdf
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    References listed on IDEAS

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    1. Vincent Bodart & Bertrand Candelon, 2000. "Appréhender la conjoncture à l'aide de la méthode de Stock-Watson : une application à l'économie belge," Économie et Prévision, Programme National Persée, vol. 146(5), pages 141-153.
    2. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, vol. 85(Mar), pages 47-61.
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    6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
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    8. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, September.
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    11. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
    12. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc.
    13. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    14. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
    15. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    16. Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-996, November.
    17. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, April.
    18. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, April.
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    Cited by:

    1. Craigwell, Roland & Maurin, Alain, 2007. "A sectoral analysis of Barbados’ GDP business cycle," MPRA Paper 33428, University Library of Munich, Germany.
    2. Juergen Bierbaumer-Polly, 2012. "Regional and Sectoral Business Cycles - Key Features for the Austrian economy," EcoMod2012 4074, EcoMod.
    3. Wong, Shirly Siew-Ling & Puah, Chin-Hong & Abu Mansor, Shazali & Liew, Venus Khim-Sen, 2012. "Early warning indicator of economic vulnerability," MPRA Paper 39944, University Library of Munich, Germany.

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    More about this item

    Keywords

    Dating;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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