Monthly US business cycle indicators : a new multivariate approach based on a band-pass filter

Gómez, Víctor; Marczak, Martyna

Monthly US business cycle indicators : a new multivariate approach based on a band-pass filter

dc.contributor.author	Gómez, Víctor	de
dc.contributor.author	Marczak, Martyna	de
dc.date.accessioned	2024-04-08T08:47:56Z
dc.date.available	2024-04-08T08:47:56Z
dc.date.created	2013-02-13
dc.date.issued	2013
dc.description.abstract	This article proposes a new multivariate method to construct business cycle indicators. The method is based on a decomposition into trend-cycle and irregular. To derive the cycle, a multivariate band-pass filter is applied to the estimated trend-cycle. The whole procedure is fully model-based. Using a set of monthly and quarterly US time series, two monthly business cycle indicators are obtained for the US. They are represented by the smoothed cycles of real GDP and the industrial production index. Both indicators are able to reproduce previous recessions very well. Series contributing to the construction of both indicators are allowed to be leading, lagging or coincident relative to the business cycle. Their behavior is assessed by means of the phase angle and the mean phase angle after cycle estimation. The proposed multivariate method can serve as an attractive tool for policy making, in particular due to its good forecasting performance and quite simple setting. The model ensures reliable realtime forecasts even though it does not involve elaborate mechanisms that account for, e.g., changes in volatility.	en
dc.identifier.swb	378703730
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5667
dc.identifier.urn	urn:nbn:de:bsz:100-opus-8087
dc.language.iso	eng
dc.relation.ispartofseries	FZID discussion papers; 64
dc.rights.license	publ-ohne-pod	en
dc.rights.license	publ-ohne-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subject	Business cycle	en
dc.subject	Multivariate structural time series model	en
dc.subject	Forecasts	en
dc.subject	Phase angle	en
dc.subject.ddc	330
dc.subject.gnd	Konjunkturzyklus	de
dc.subject.gnd	Konjunkturindikator	de
dc.subject.gnd	USA	de
dc.title	Monthly US business cycle indicators : a new multivariate approach based on a band-pass filter	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.bibtex	@techreport{Gómez2013, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5667}, author = {Gómez, Víctor and Marczak, Martyna}, title = {Monthly US business cycle indicators : a new multivariate approach based on a band-pass filter}, year = {2013}, school = {Universität Hohenheim}, series = {FZID discussion papers}, }
local.export.bibtexAuthor	Gómez, Víctor and Marczak, Martyna
local.export.bibtexKey	Gómez2013
local.export.bibtexType	@techreport
local.faculty.number	3	de
local.faculty.number	7	de
local.institute.number	520	de
local.institute.number	795	de
local.opus.number	808
local.series.issueNumber	64
local.series.title	FZID discussion papers
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.faculty	Landesanstalten	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de
local.university.institute	Forschungszentrum Innovation und Dienstleistung	de

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