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A contribution to the chronology of turning points in global economic activity (1980-2012)

Author

Listed:
  • Grossman, Valerie

    (Federal Reserve Bank of Dallas)

  • Mack, Adrienne

    (Federal Reserve Bank of Dallas)

  • Martinez-Garcia, Enrique

    () (Federal Reserve Bank of Dallas)

Abstract

The Database of Global Economic Indicators (DGEI) of the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for the study of globalization. It includes a core sample of 40 countries with available indicators and broad coverage for quarterly real GDP, and the monthly series of industrial production (IP), Purchasing Managers Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates (see Grossman, Mack, and Martínez-García (2013)). This paper aims to codify in a systematic way the chronology of global business cycles for DGEI. We propose a novel chronology based on IP data for a sample of 84 countries at a monthly frequency from 1980 until now, and assess the turning points obtained as a signal of the underlying state of the economy as tracked by the indicators of DGEI. We conclude by proposing and also evaluating global recession probability forecasts up to 12 months ahead. The logit model proposed uses the DGEI aggregate indicators to offer advanced warning of turning point in the global cycle—by this metric a global downturn in 2013 does not appear likely.

Suggested Citation

  • Grossman, Valerie & Mack, Adrienne & Martinez-Garcia, Enrique, 2014. "A contribution to the chronology of turning points in global economic activity (1980-2012)," Globalization and Monetary Policy Institute Working Paper 169, Federal Reserve Bank of Dallas.
  • Handle: RePEc:fip:feddgw:169
    DOI: 10.24149/gwp169
    Note: Published as: Valerie Grossman, Adrienne Mack and Enrique Martínez-García (2015), "A Contribution to the Chronology of Turning Points in Global Economic Activity (1980–2012)," Journal of Macroeconomics 46: 170-185.
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    References listed on IDEAS

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    Cited by:

    1. Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
    2. Camacho, Maximo & Martinez-Martin, Jaime, 2015. "Monitoring the world business cycle," Economic Modelling, Elsevier, vol. 51(C), pages 617-625.
    3. Wynne, Mark A. & Zhang, Ren, 2017. "Measuring the World Natural Rate of Interest," Globalization and Monetary Policy Institute Working Paper 315, Federal Reserve Bank of Dallas, revised 01 Jun 2017.
    4. repec:spr:jbuscr:v:13:y:2017:i:1:d:10.1007_s41549-017-0014-9 is not listed on IDEAS

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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