Business Cycle Measurement with Semantic Filtering: A Micro Data Approach
In this paper we develop a business cycle measure that can be shown to have excellent ex-ante forecasting properties for GDP growth. For identifying business cycle movements, we use a semantic approach. We infer nine different states of the economy directly from firms’ responses in business tendency surveys. Hence, we can identify the current state of the economy. We therewith measure business cycle fluctuations. One of the main advantages of our methodology is that it is a structural concept based on shock identification and therefore does not need any - often rather arbitrary - statistical filtering. Futhermore, it is not subject to revisions, it is available in real-time and has a publication lead to official GDP data of at least one quarter. It can therefore be used for one quarter ahead forecasting real GDP growth.
|Date of creation:||Nov 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Leonhardstrasse 21, CH-8092 Zürich|
Phone: +41 44 632 42 39
Fax: +41 44 632 12 18
Web page: http://www.kof.ethz.ch
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ivaldi, Marc, 1992. "Survey Evidence on the Rationality of Expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 225-41, July-Sept.
- David F. Hendry & Hans-Martin Krolzig, 2004.
"We Ran One Regression,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
When requesting a correction, please mention this item's handle: RePEc:kof:wpskof:08-212. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.