A new coincident index of business cycles based on monthly and quarterly series

A new coincident index of business cycles based on monthly and quarterly series

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and t...

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Bibliographic Details
Main Authors: Mariano, Roberto S., Murasawa, Yasutomo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
Subjects:
Factor analysis
Time series
Missing observation
State-space model
Kalman filter
Stock-Watson index
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/374
https://ink.library.smu.edu.sg/context/soe_research/article/1373/viewcontent/New_Coincident_Index_of_Business_Cycles_Based_on_Monthly_pp_2002.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. [PUBLICATION ABSTRACT]

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