Making leading indicators more leading: A wavelet-based method for the construction of composite leading indexes
This paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyse the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based index which combines seve...
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| Main Author: | |
|---|---|
| Format: | Electronic Book Chapter |
| Language: | English |
| Published: |
Paris
OECD Publishing
2014
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| Subjects: | |
| Online Access: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Summary: | This paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyse the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based index which combines several scale-based subindexes is constructed by using a scale-by-scale selection of the components included in the OECD composite leading indicator (CLI) for the US. The comparison with the CLI and its derived measures indicate that the wavelet-based composite index tends to provide early signals of business cycle turning points well in advance of the OECD CLI. Moreover we find that the reliability of the signals tends to increase considerably when the sub-index obtained from the time scale components corresponding to minor cycles, that is, 2-4 years, is removed from the overall wavelet-based index. Keywords: wavelets; composite leading indicators; early warning signals JEL classification: C1; C3; C5; E3 |
| Physical Description: | 1 Online-Ressource (21 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2014-5jxx56gqmhf1 |
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| spelling | Gallegati, Marco Verfasser aut Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes Marco Gallegati Paris OECD Publishing 2014 1 Online-Ressource (21 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier This paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyse the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based index which combines several scale-based subindexes is constructed by using a scale-by-scale selection of the components included in the OECD composite leading indicator (CLI) for the US. The comparison with the CLI and its derived measures indicate that the wavelet-based composite index tends to provide early signals of business cycle turning points well in advance of the OECD CLI. Moreover we find that the reliability of the signals tends to increase considerably when the sub-index obtained from the time scale components corresponding to minor cycles, that is, 2-4 years, is removed from the overall wavelet-based index. Keywords: wavelets; composite leading indicators; early warning signals JEL classification: C1; C3; C5; E3 Economics https://doi.org/10.1787/jbcma-2014-5jxx56gqmhf1 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Gallegati, Marco Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes Economics |
| title | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes |
| title_auth | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes |
| title_exact_search | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes |
| title_exact_search_txtP | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes |
| title_full | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes Marco Gallegati |
| title_fullStr | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes Marco Gallegati |
| title_full_unstemmed | Making leading indicators more leading A wavelet-based method for the construction of composite leading indexes Marco Gallegati |
| title_short | Making leading indicators more leading |
| title_sort | making leading indicators more leading a wavelet based method for the construction of composite leading indexes |
| title_sub | A wavelet-based method for the construction of composite leading indexes |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-2014-5jxx56gqmhf1 |
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