Evaluating early warning and coincident indicators of business cycles using smooth trends

We present a composite coincident indicator designed to capture the state of the Spanish economy. Our approach, based on smooth trends, guarantees that the resulting indicators are reasonably smooth and issue stable signals, reducing the uncertainty. The coincident indicator has been checked by comp...

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Detalles Bibliográficos
Autores: Bujosa Brun, Marcos, García-Ferrer, Antonio, de Juan, Aránzazu, Martín-Arroyo, Antonio
Tipo de recurso: artículo
Fecha de publicación:2019
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/141.1
Acceso en línea:https://hdl.handle.net/20.500.14352/141.1
Access Level:acceso abierto
Palabra clave:Economía española
Indicadores económicos.
Econometría (Economía)
Indicadores económicos
5302 Econometría
5302.01 Indicadores Económicos
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oai_identifier_str oai:docta.ucm.es:20.500.14352/141.1
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repository_id_str
spelling Evaluating early warning and coincident indicators of business cycles using smooth trendsBujosa Brun, MarcosGarcía-Ferrer, Antoniode Juan, AránzazuMartín-Arroyo, AntonioEconomía españolaIndicadores económicos.Econometría (Economía)Indicadores económicos5302 Econometría5302.01 Indicadores EconómicosWe present a composite coincident indicator designed to capture the state of the Spanish economy. Our approach, based on smooth trends, guarantees that the resulting indicators are reasonably smooth and issue stable signals, reducing the uncertainty. The coincident indicator has been checked by comparing it with the one recently proposed by the Spanish Economic Association index. Both indexes show similar behavior and ours captures very well the beginning and end of the official recessions and expansion periods. Our coincident indicator also tracks very well alternative mass media indicators typically used in the political science literature. We also update our composite leading indicator (Bujosa, Garc ??a-Ferrer, and de Juan, 2013). It systematically predicts the peaks and troughs of the new Spanish Economic Association index and provides significant aid in forecasting annual GDP growth rates. Using only real data available at the beginning of each forecast period, our indicator one step-ahead forecasts shows improvements over other individual alternatives and different forecast combinations.John Wiley & Sons LtdUniversidad Complutense de Madrid20192019-01-0120192019-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://hdl.handle.net/20.500.14352/141.1reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/141.12026-06-02T12:44:21Z
dc.title.none.fl_str_mv Evaluating early warning and coincident indicators of business cycles using smooth trends
title Evaluating early warning and coincident indicators of business cycles using smooth trends
spellingShingle Evaluating early warning and coincident indicators of business cycles using smooth trends
Bujosa Brun, Marcos
Economía española
Indicadores económicos.
Econometría (Economía)
Indicadores económicos
5302 Econometría
5302.01 Indicadores Económicos
title_short Evaluating early warning and coincident indicators of business cycles using smooth trends
title_full Evaluating early warning and coincident indicators of business cycles using smooth trends
title_fullStr Evaluating early warning and coincident indicators of business cycles using smooth trends
title_full_unstemmed Evaluating early warning and coincident indicators of business cycles using smooth trends
title_sort Evaluating early warning and coincident indicators of business cycles using smooth trends
dc.creator.none.fl_str_mv Bujosa Brun, Marcos
García-Ferrer, Antonio
de Juan, Aránzazu
Martín-Arroyo, Antonio
author Bujosa Brun, Marcos
author_facet Bujosa Brun, Marcos
García-Ferrer, Antonio
de Juan, Aránzazu
Martín-Arroyo, Antonio
author_role author
author2 García-Ferrer, Antonio
de Juan, Aránzazu
Martín-Arroyo, Antonio
author2_role author
author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv Economía española
Indicadores económicos.
Econometría (Economía)
Indicadores económicos
5302 Econometría
5302.01 Indicadores Económicos
topic Economía española
Indicadores económicos.
Econometría (Economía)
Indicadores económicos
5302 Econometría
5302.01 Indicadores Económicos
description We present a composite coincident indicator designed to capture the state of the Spanish economy. Our approach, based on smooth trends, guarantees that the resulting indicators are reasonably smooth and issue stable signals, reducing the uncertainty. The coincident indicator has been checked by comparing it with the one recently proposed by the Spanish Economic Association index. Both indexes show similar behavior and ours captures very well the beginning and end of the official recessions and expansion periods. Our coincident indicator also tracks very well alternative mass media indicators typically used in the political science literature. We also update our composite leading indicator (Bujosa, Garc ??a-Ferrer, and de Juan, 2013). It systematically predicts the peaks and troughs of the new Spanish Economic Association index and provides significant aid in forecasting annual GDP growth rates. Using only real data available at the beginning of each forecast period, our indicator one step-ahead forecasts shows improvements over other individual alternatives and different forecast combinations.
publishDate 2019
dc.date.none.fl_str_mv 2019
2019-01-01
2019
2019-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/141.1
url https://hdl.handle.net/20.500.14352/141.1
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv John Wiley & Sons Ltd
publisher.none.fl_str_mv John Wiley & Sons Ltd
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300719

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