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Autor
Klucik Miroslav (Institute of Informatics and Statistics (INFOSTAT), Slovakia), Juriova Jana (Institute of Informatics and Statistics (INFOSTAT), Slovakia)
Tytuł
Slowdown or Recession? Forecasts Based on Composite Leading Indicator
Źródło
Central European Journal of Economic Modelling and Econometrics (CEJEME), 2010, vol. 2, nr 1, s. 17-36, rys., tab., bibliogr. 9 poz.
Słowa kluczowe
Kryzys gospodarczy, Recesja gospodarcza, Cykl koniunkturalny, Prognozowanie
Economic crisis, Economic recession, Business cycles, Forecasting
Uwagi
summ.; Klasyfikacja JEL: C13, C22, C53, E32
Abstrakt
The economy of Slovakia experienced a turning point in the 1st half of 2008 and entered a phase of decline. The negative impacts of the global economic crisis became evident in the 2nd half of 2008 and led into a recession in the 1st quarter of 2009. The composite leading indicator was originally intended for forecasting of business cycle turning points between the decline and growth phases. The aim of this paper is to transform the qualitative information from composite leading indicator into quantitative forecast and verify whether the beginning of recession in Slovakia could have been identified in advance. The ARIMAX and error correction models are used for the composite reference series and GDP forecasts respectively. The final result shows that the composite leading indicator is useful not only for identifying turning points, but also for the prediction of recession phase. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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Bibliografia
Pokaż
  1. Asteriou D., Hall S. G., (2007), Applied Econometrics (A Modern Approach using EViews and Microfit), Palgrave Macmillan, New York.
  2. Chatfield, C., (1996), The Analysis of Time Series, 5th edition, Chapman & Hall, New York.
  3. Dua P., Banerji A., (2006), Business cycles in India, Working Paper No. 146, Centre for Development Economics, Department of Economics, Delhi School of Economics, available at: http://www.cdedse.org/pdf/work146.pdf
  4. ESS Guidelines on Seasonal Adjustment, Eurostat Methodologies and Working Papers, European Communities 2009, available at: http://epp.eurostat.ec.europa.eu/cache/ITY_OFFPUB/KS-RA-09-006/EN/KSRA- 09-006-EN.PDF
  5. Hamilton J. D., (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey.
  6. Klucik M., (2009), Composite Reference Series and Composite Leading Indicator for Slovakia. presented at: IFO/INSEE and ISAE International Conference, "The First Macroeconomic Forecasting Conference - MFC 2009", Rome, Italy, 27. March 2009; available at: http://www.isae.it/MFC/2009/klucik.pdf
  7. Nilsson R., Gyomai G., (2007), OECD System of Leading Indicators. OECD, available at : http://www.oecd.org/dataoecd/26/39/41629509.pdf
  8. Pankratz A., (1991), Forecasting with Dynamic Regression Models, John Wiley and sons, New York.
  9. Zarnowitz V., Ozyildirim A., (2002), Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles. NBER Working Paper No. W8736, available at : http://www.fcsm.gov/03papers/Zarnowitz.pdf
Cytowane przez
Pokaż
ISSN
2080-0886
Język
eng
URI / DOI
http://dx.doi.org/10.24425/cejeme.2010.119318
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