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The coincident and the leading business cycle indicators for Poland

Author

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  • Rafał Woźniak

    () (Faculty of Economic Sciences, University of Warsaw; National Bank of Poland)

Abstract

In the paper, two indicators, the coincident and the leading indicator, are proposed to represent the aggregated economic activity in Poland. The indicators are constructed with stochastic cycle and trend model. Not only does the presented approach solve the problem of existence of stochastic trends in the observed series, but it also allows to account for a different data span of each series in dataset.

Suggested Citation

  • Rafał Woźniak, 2011. "The coincident and the leading business cycle indicators for Poland," Working Papers 2011-01, Faculty of Economic Sciences, University of Warsaw.
  • Handle: RePEc:war:wpaper:2011-01
    as

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    File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP41.pdf
    File Function: First version, 2011
    Download Restriction: no

    More about this item

    Keywords

    business cycles; leading indicators; coincident indicators; dynamic factor model; stochastic cycle; stochastic trend;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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