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Assessing Malaysia’s Business Cycle indicators

  • Michael Meow-Chung Yap
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    An empirical assessment shows that Malaysia’s business cycle indicators can be improved. Turning point detection is not impressive, especially for troughs. Lead times are also variable. However, the relationship between the leading and coincident indicators over the entire cycle shows quite strong correlations from the late 1980s onwards, although lead times have shortened. Empirical evidence is very strong that the leading index Granger-causes the coincident index. Business and consumer confidence surveys also show much promise in improving prediction of the reference cycle. However, implications of the changing economic structure on the performance of the leading index needs to be fully taken into account, especially the emergence of new services sector activities.

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    File URL: http://www.buseco.monash.edu.au/eco/research/papers/2009/0409assessingmalaysiayap.pdf
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    Paper provided by Monash University, Department of Economics in its series Monash Economics Working Papers with number 04-09.

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    Length: 41 pages
    Date of creation: Aug 2009
    Date of revision:
    Handle: RePEc:mos:moswps:2009-04
    Contact details of provider: Postal: Department of Economics, Monash University, Victoria 3800, Australia
    Phone: +61-3-9905-2493
    Fax: +61-3-9905-5476
    Web page: http://www.buseco.monash.edu.au/eco/
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    1. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
      • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
    2. Joannes Mongardini & Tahsin Saadi-Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators; An Application to Jordan," IMF Working Papers 03/170, International Monetary Fund.
    3. Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO.
    4. 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.
    5. 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.
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