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A composite leading cycle indicator for Uruguay

Author

Listed:
  • Pablo Galaso

    () (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economí­a)

  • Sandra Rodriguez

    () (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economí­a)

Abstract

This study estimates a composite leading business cycle indicator for the Uruguayan economy following the methodology of The Conference Board. Prediction is based on the analysis of multiple series that have a leading relationship to the Industrial Production Index, which is used as the reference variable of the overall economic activity. Once selected, these series are aggregated into a single composite indicator. Our index covers a 20-year period (from 1994 to 2013). It includes variables covering diverse aspects of economic activity and reaches to advance the two turning points occurred in Uruguay during that period.

Suggested Citation

  • Pablo Galaso & Sandra Rodriguez, 2014. "A composite leading cycle indicator for Uruguay," Documentos de Trabajo (working papers) 14-09, Instituto de Economia - IECON.
    • Handle: RePEc:ulr:wpaper:dt-09-14
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    References listed on IDEAS

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    1. Kling, John L, 1987. "Predicting the Turning Points of Business and Economic Time Series," The Journal of Business, University of Chicago Press, vol. 60(2), pages 201-238, April.
    2. Luis Fernando Melo V. & Fabio H. Nieto & Carlos Esteban Posada P. & Yanneth Rocío Betancourt G. & Juan David Barón, 2001. "Un Índice Coincidente para la Actividad Económico de Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 19(40), pages 46-88, December.
    3. Philip A. Klein & Geoffrey H. Moore, 1982. "The Leading Indicator Approach to Economic Forecasting--Retrospect and Prospect," NBER Working Papers 0941, National Bureau of Economic Research, Inc.
    4. Marcellino, Massimiliano, 2006. "Leading Indicators," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.),Handbook of Economic Forecasting, edition 1, volume 1, chapter 16, pages 879-960, Elsevier.
    5. Acevedo, Alejandra & Bello, Omar & Cantú, Fernando, 2010. "Indicadores adelantados para América Latina," Macroeconomía del Desarrollo 101, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    6. Rebecca A Emerson & David Hendry, 1994. "An evaluation of forecasting using leading indicators," Economics Papers 5., Economics Group, Nuffield College, University of Oxford.
    7. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," The Journal of Business, University of Chicago Press, vol. 62(3), pages 369-391, July.
    8. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
    9. Juan Mario Jorrat & Ana María Cerro, 2000. "Computing turning point monthly probability of the Argentinian economy according to the leading index: 1973 - 2000," Estudios de Economia, University of Chile, Department of Economics, vol. 27(2 Year 20), pages 279-295, December.
    10. Victor Gómez & Agustín Maravall, 1996. "Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)," Working Papers 9628, Banco de España;Working Papers Homepage.
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    Cited by:

    1. Moses Tule & Taiwo Ajilore & Godday Ebuh, 2016. "A composite index of leading indicators of unemployment in Nigeria," Journal of African Business, Taylor & Francis Journals, vol. 17(1), pages 87-105, January.

    More about this item

    Keywords

    leading indicator; business cycle; turning points; Uruguay;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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