Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators

Christian Gayer and Julien Genet

No 240, European Economy - Economic Papers 2008 - 2015 from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission

Abstract: This paper compares different approaches to constructing composite business cycle indicators based on series from the Joint Harmonised EU Programme of Business and Consumer Surveys (BCS). The currently computed Confidence Indicators are used as benchmarks in gauging four different factor-analytic methods to extract sectoral business cycle indicators. Improvements in tracking performance are mainly found on individual country level.

Keywords: Business cycle; Confidence indicators; Factor models; Principal components; Business and Consumer Surveys (BCS); Gayer; Genet (search for similar items in EconPapers)
Pages: 50 pages
Date: 2006-01
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:euf:ecopap:0240

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