Estimating Indexes of Coincident and Leading Indicators: An Application to Jordan
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Stéphane Pallage & Michel A. Robe, 2001.
"Foreign Aid and the Business Cycle,"
Review of International Economics, Wiley Blackwell, vol. 9(4), pages 641-672, November.
- Stephane Pallage & Michel Robe, 1998. "Foreign Aid and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 63, CREFE, Université du Québec à Montréal.
- Michel A. Robe & Stephane Pallage, 2000. "Foreign Aid And The Business Cycle," Computing in Economics and Finance 2000 107, Society for Computational Economics.
- Marianne Baxter & Robert G. King, 1999.
"Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series,"
The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
- Burnside, Craig, 1998. "Detrending and business cycle facts: A comment," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 513-532, May.
- Unknown, 1967. "Index," 1967 Conference, August 21-30, 1967, Sydney, New South Wales, Australia 209796, International Association of Agricultural Economists.
- 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.
- Victor Zarnowitz & Ataman Ozyildirim, 2001. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," Economics Program Working Papers 01-03, The Conference Board, Economics Program.
- Victor Zarnowitz & Ataman Ozyildirim, 2002. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," NBER Working Papers 8736, National Bureau of Economic Research, Inc.
- Canova, Fabio, 1998.
"Detrending and business cycle facts,"
Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
- Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Mr. Alejandro Simone, 2001. "In Search of Coincident and Leading Indicators of Economic Activity in Argentina," IMF Working Papers 2001/030, International Monetary Fund.
- Rand, John & Tarp, Finn, 2002.
"Business Cycles in Developing Countries: Are They Different?,"
World Development, Elsevier, vol. 30(12), pages 2071-2088, December.
- Rand, John & Tarp, Finn, 2001. "Business Cycles in Developing Countries: Are They Different?," MPRA Paper 62445, University Library of Munich, Germany.
- Pami Dua & Anirvan Banerji, 2000. "An Index of Coincident Economic Indicators for the Indian Economy," Working papers 73, Centre for Development Economics, Delhi School of Economics.
- Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
- Mr. Daniel Leigh & Mr. Marco Rossi, 2002. "Leading Indicators of Growth and Inflation in Turkey," IMF Working Papers 2002/231, International Monetary Fund.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Kozicki, Sharon, 1999.
"Multivariate detrending under common trend restrictions: Implications for business cycle research,"
Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 997-1028, June.
- Sharon Kozicki, 1996. "Multivariate detrending under common trend restrictions: implications for business cycle research," Research Working Paper 96-01, Federal Reserve Bank of Kansas City.
- Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2000.
"The Composite Index of Leading Economic Indicators: How to Make it More Timely,"
Economics Program Working Papers
00-04, The Conference Board, Economics Program.
- Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2001. "The Composite Index of Leading Economic Indicators: How to Make It More Timely," NBER Working Papers 8430, National Bureau of Economic Research, Inc.
- Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
- James H. Stock & Mark W.Watson, 2003.
"Forecasting Output and Inflation: The Role of Asset Prices,"
Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
- Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
- Ahsan S. Mansur & Mr. Edouard Maciejewski, 1996. "Jordan: Strategy for Adjustment and Growth," IMF Occasional Papers 1996/002, International Monetary Fund.
- Canova, Fabio, 1999.
"Does Detrending Matter for the Determination of the Reference Cycle and the Selection of Turning Points?,"
Economic Journal, Royal Economic Society, vol. 109(452), pages 126-150, January.
- Fabio Canova, 1994. "Does detrending matter for the determination of the reference cycle and the selection of turning points?," Economics Working Papers 113, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 1995.
- Riaz Riazuddin & Mahmood ul Hasan Khan, 2002. "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Working Paper Series 02, State Bank of Pakistan, Research Department.
- C. Emre Alper & S. Boragan Aruoba, 2001. "Moving Holidays and Seasonality: An Application in the Time and Frequency Domains For Turkey," Working Papers 2001/07, Bogazici University, Department of Economics.
- Cogley, Timothy & Nason, James M., 1995.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research,"
Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
- Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
- 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.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
- James H. Stock & Mark W. Watson, 1993.
"A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience,"
NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 95-156,
National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1992. "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience," NBER Working Papers 4014, National Bureau of Economic Research, Inc.
- Agenor, Pierre-Richard & McDermott, C John & Prasad, Eswar S, 2000.
"Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts,"
The World Bank Economic Review, World Bank, vol. 14(2), pages 251-285, May.
- Mr. C. John McDermott & Mr. Eswar S Prasad & Pierre-Richard Agénor, 1999. "Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts," IMF Working Papers 1999/035, International Monetary Fund.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Parma Chakravartti & Sudipto Mundle, 2017.
"An Automatic Leading Indicator Based Growth Forecast For 2016-17 and The Outlook Beyond,"
Working Papers
id:11773, eSocialSciences.
- Chakravartti, Parma & Mundle, Sudipto, 2017. "An Automatic Leading Indicator Based Growth Forecast For 2016-17 and The Outlook Beyond," Working Papers 17/193, National Institute of Public Finance and Policy.
- Rudrani Bhattacharya & Parma Chakravartti & Sudipto Mundle, 2019.
"Forecasting India’s economic growth: a time-varying parameter regression approach,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 12(3), pages 205-228, September.
- Bhattacharya, Rudrani & Chakravarti, Parma & Mundle, Sudipto, 2018. "Forecasting India's Economic Growth: A Time-Varying Parameter Regression Approach," Working Papers 18/238, National Institute of Public Finance and Policy.
- Cotrie, Gladys & Craigwell, Roland & Maurin, Alain, 2009. "A review of leading composite indicators: making a case for their use in Caribbean economies," MPRA Paper 33390, University Library of Munich, Germany, revised 2009.
- Kathleen Dorsainvil, 2006. "Explaining Economic Performance in the Haitian Economy," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(1), pages 125-145, January-J.
- Michael Meow-Chung Yap, 2009. "Assessing Malaysia’s Business Cycle indicators," Monash Economics Working Papers 04-09, Monash University, Department of Economics.
- Matta Samer, 2015. "New Coincident and Leading Indexes for the Lebanese Economy," Review of Middle East Economics and Finance, De Gruyter, vol. 11(3), pages 277-303, December.
- Corina PÎRLOGEA & Ion POPA & Corina FR?SINEANU, 2012. "Macroeconomic Indicators Used to Study the Efficiency of Investments in Renewable Energy Field," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(2), pages 308-315, December.
- Bhaghoe, Sailesh, 2018. "A Monthly Economic Activity Index System for Suriname," EconStor Preprints 226693, ZBW - Leibniz Information Centre for Economics.
- Alain Durré & Mr. Bernard J Laurens & Alexandre Chailloux, 2009. "Requirements for Using Interest Rates As An Operating Target for Monetary Policy: The Case of Tunisia," IMF Working Papers 2009/149, International Monetary Fund.
- Mr. Martin Petri & Tahsin Saadi Sedik, 2006. "To Smooth or Not to Smooth—The Impact of Grants and Remittances on the Equilibrium Real Exchange Rate in Jordan," IMF Working Papers 2006/257, International Monetary Fund.
- Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer, 2009. "Composite Leading Indicators for Ukraine: An Early Warning Model," CASE Network Reports 0085, CASE-Center for Social and Economic Research.
- Adél Bosch & Steven F. Koch, 2020. "The South African Financial Cycle and its Relation to Household Deleveraging," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 145-173, June.
- Pandey, Radhika & Patnaik, Ila & Shah, Ajay, 2019. "Measuring business cycle conditions in India," Working Papers 19/269, National Institute of Public Finance and Policy.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Odia Ndongo, Yves Francis, 2006. "Datation du Cycle du PIB Camerounais entre 1960 et 2003," MPRA Paper 552, University Library of Munich, Germany.
- Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
- Ghate, Chetan & Pandey, Radhika & Patnaik, Ila, 2013.
"Has India emerged? Business cycle stylized facts from a transitioning economy,"
Structural Change and Economic Dynamics, Elsevier, vol. 24(C), pages 157-172.
- Chetan Ghate & Radhika Pandey & Ila Patnaik, 2011. "Has India emerged? Business cycle stylized facts from a transitioning economy," Discussion Papers 11-05, Indian Statistical Institute, Delhi.
- Fritz, Marlon, 2019. "Steady state adjusting trends using a data-driven local polynomial regression," Economic Modelling, Elsevier, vol. 83(C), pages 312-325.
- Rand, John & Tarp, Finn, 2002.
"Business Cycles in Developing Countries: Are They Different?,"
World Development, Elsevier, vol. 30(12), pages 2071-2088, December.
- Rand, John & Tarp, Finn, 2001. "Business Cycles in Developing Countries: Are They Different?," MPRA Paper 62445, University Library of Munich, Germany.
- Michael Funke & Harm Bandholz, 2003.
"In search of leading indicators of economic activity in Germany,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 277-297.
- Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series 571, CESifo.
- Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers 20307, Hamburg University, Department of Economics.
- Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto.
- Jakob De Haan & Robert Inklaar & Richard Jong‐A‐Pin, 2008.
"Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, April.
- Haan, Jakob de & Inklaar, Robert & Jong-A-Pin, Richard, 2005. "Will business cycles in the Euro Area converge : a critical survey of empirical research," CCSO Working Papers 200508, University of Groningen, CCSO Centre for Economic Research.
- Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
- Pontines, Victor, 2017.
"The financial cycles in four East Asian economies,"
Economic Modelling, Elsevier, vol. 65(C), pages 51-66.
- Victor Pontines, 2016. "The Financial Cycles in Four East Asian Economies," Working Papers wp17, South East Asian Central Banks (SEACEN) Research and Training Centre.
- Massmann, Michael & Mitchell, James, 2003.
"Reconsidering the evidence: Are Eurozone business cycles converging,"
ZEI Working Papers
B 05-2003, University of Bonn, ZEI - Center for European Integration Studies.
- James Mitchell & Michael Massmann, 2004. "Reconsidering the evidence: are Eurozone business cycles converging?," Money Macro and Finance (MMF) Research Group Conference 2003 67, Money Macro and Finance Research Group.
- Aadland, David, 2005.
"Detrending time-aggregated data,"
Economics Letters, Elsevier, vol. 89(3), pages 287-293, December.
- David Aadland, 2002. "Detrending Time-Aggregated Data," Working Papers 2002-05, Utah State University, Department of Economics.
- David Aadland, 2002. "Detrending Time-Aggregated Data," Macroeconomics 0301007, University Library of Munich, Germany.
- David Aadland, 2002. "Detrending Time-Aggregated Data," Microeconomics 0211015, University Library of Munich, Germany.
- Ai Deng & Pierre Perron, 2006.
"A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend,"
Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
- Ai Deng & Pierre Perron, 2005. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series WP2005-030, Boston University - Department of Economics.
- Wolfgang Nierhaus & Timo Wollmershäuser, 2016. "ifo Konjunkturumfragen und Konjunkturanalyse: Band II," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 72.
- Marlon Fritz, 2019. "Data-Driven Local Polynomial Trend Estimation for Economic Data - Steady State Adjusting Trends," Working Papers Dissertations 49, Paderborn University, Faculty of Business Administration and Economics.
- Perron, Pierre & Wada, Tatsuma, 2009.
"Let's take a break: Trends and cycles in US real GDP,"
Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
- Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
- Mr. Andreas Billmeier, 2004. "Ghostbusting: Which Output Gap Measure Really Matters?," IMF Working Papers 2004/146, International Monetary Fund.
- Korap, Levent, 2010. "A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series," MPRA Paper 28647, University Library of Munich, Germany.
- Odile Chagny & Jörg Döpke, 2001.
"Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods,"
Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 310-332.
- Döpke, Jörg & Chagny, Odile, 2001. "Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods," Kiel Working Papers 1053, Kiel Institute for the World Economy (IfW Kiel).
- Mertens, Elmar, 2010.
"Structural shocks and the comovements between output and interest rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1171-1186, June.
- Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).
More about this item
Keywords
WP; leading indicator; economic activity; composite index; Jordan; coincident indicators; leading indicators; Jordanian dinar; composite index of leading economic indicators; confidence interval; adjusted leading indicators; OECD methodology; composite indexes of coincident and leading economic indicators; leading indicators of economic activity; share price; Cyclical indicators; Business cycles; Industrial production; Emerging and frontier financial markets; Production index; Global;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:2003/170. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.