Deviation Cycles in Manufacturing: Business Cycle Measurement and Leading Indicators

Ard Reijer ()

Journal of Business Cycle Measurement and Analysis, 2007, vol. 2007, issue 1, 43-77

Abstract: The deviation cycles in the manufacturing industry of nine OECD-countries are identified by applying the Christiano-Fitzgerald band-pass filter. Turning points, low- and high-growth phases and other descriptive statistics are derived from these deviation cycles. A regression based test statistic is applied to test for duration dependence. Moreover, the international linkage between the cyclical motions in the manufacturing industry of two countries is investigated by measuring the degree of synchronisation. In addition to measuring the cyclical fluctuation, a composite leading indicator is constructed which replicates and predicts the deviation cycle in the manufacturing industry. This composite leading indicator is a single index composed of economic, financial and expectation variables possessing leading properties.

Keywords: Business cycles; Turning points; Leading indicators; Band-pass filter (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1787/jbcma-v2007-art3-en (text/html)
Full text available to READ online. PDF download available to OECD iLibrary subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oec:stdkaa:5l4kx1hg1tq4

Access Statistics for this article

More articles in Journal of Business Cycle Measurement and Analysis from OECD Publishing, Centre for International Research on Economic Tendency Surveys Contact information at EDIRC.
Bibliographic data for series maintained by ().