Title

A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series

Publication Type

Journal Article

Publication Date

2003

Abstract

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]

Discipline

Econometrics | Finance

Research Areas

Econometrics

Publication

Journal of Applied Econometrics

Volume

18

Issue

4

First Page

427

Last Page

443

ISSN

0883-7252

Publisher

Wiley

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

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