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The Dutch business cycle: which indicators should we monitor?

  • Ard den Reijer

In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass .lter is employed to isolate the cycle using the de.nition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The main advantage of band-pass .ltering is the unambiguous concept of a business cycle, to which the .ltered approximation will eventually converge as more and more observations become available. The coincident business cycle index is based on industrial production, household consumption and sta¢ ng employment. These three variables represent key macroeconomic developments, which are also analysed by both the CEPR and NBER dating committees. For the indicator to be useful in practice, a timely update and therefore a limited publication delay is a crucial constraint. The composite leading index consists of eleven indicators representing di¤erent sectors in the economy: three .nancial series, four business and consumer surveys and four real activity variables, of which two supply- and two demand-related.

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Paper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 100.

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Date of creation: May 2006
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Handle: RePEc:dnb:dnbwpp:100
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  24. P J A van Els & W A van den End & M C J van Rooij, 2005. "Financial behaviour of Dutch households: analysis of the DNB Household Survey 2003," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 21-39 Bank for International Settlements.
  25. de Groot, E.A. & Franses, Ph.H.B.F., 2005. "Real time estimates of GDP growth," Econometric Institute Research Papers EI 2005-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  26. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, May.
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