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
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DOI：
10.2139/ssrn.317983
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发表时间：
2002-04
期刊：
影响因子：
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通讯作者：
R. Mariano;Yasutomo Murasawa
中科院分区：
文献类型：
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作者：
R. Mariano;Yasutomo Murasawa
流行的商业周期月度同步指数，如综合指数和斯托克-沃森同步指数，有两个缺点。首先，他们忽略了季度指标中包含的信息，比如真实的GDP。其次，它们缺乏经济解释;因此，峰值的高度和低谷的深度取决于指数的选择。本文将最大似然因子分析应用于季度真实的GDP和月度同步商业周期指标的混合频率序列，扩展了斯托克-沃森同步指数。由此产生的指数与潜在的月度真实的国内生产总值有关。版权所有© 2002年约翰威利父子有限公司。
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. Copyright © 2002 John Wiley & Sons, Ltd.