An Evaluation of Japanese Leading Indicators:
This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not th...
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| Format: | Elektronisch Artikel |
| Sprache: | English |
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Paris
OECD Publishing
2008
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| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not the leading composite index and its component series truly lead the business cycle turning point dates officially determined by the Japanese government. We argue that if we utilize the evaluated properties of the component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provide one such example. |
| Beschreibung: | 1 Online-Ressource (17 p.) |
| DOI: | 10.1787/jbcma-v2007-art12-en |
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| 520 | |a This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not the leading composite index and its component series truly lead the business cycle turning point dates officially determined by the Japanese government. We argue that if we utilize the evaluated properties of the component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provide one such example. | ||
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| author | Yamada, Hiroshi |
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| indexdate | 2024-11-26T14:56:13Z |
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| language | English |
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| spelling | Yamada, Hiroshi VerfasserIn aut An Evaluation of Japanese Leading Indicators Hiroshi, Yamada, Yuzo, Honda and Yasuyoshi, Tokutsu Paris OECD Publishing 2008 1 Online-Ressource (17 p.) Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not the leading composite index and its component series truly lead the business cycle turning point dates officially determined by the Japanese government. We argue that if we utilize the evaluated properties of the component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provide one such example. Economics Japan Honda, Yuzo MitwirkendeR ctb Tokutsu, Yasuyoshi MitwirkendeR ctb Enthalten in Journal of Business Cycle Measurement and Analysis Vol. 2007, no. 2, p. 217-233 volume:2007 year:2007 number:2 pages:217-233 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-v2007-art12-en Volltext |
| spellingShingle | Yamada, Hiroshi An Evaluation of Japanese Leading Indicators Economics Japan |
| title | An Evaluation of Japanese Leading Indicators |
| title_auth | An Evaluation of Japanese Leading Indicators |
| title_exact_search | An Evaluation of Japanese Leading Indicators |
| title_full | An Evaluation of Japanese Leading Indicators Hiroshi, Yamada, Yuzo, Honda and Yasuyoshi, Tokutsu |
| title_fullStr | An Evaluation of Japanese Leading Indicators Hiroshi, Yamada, Yuzo, Honda and Yasuyoshi, Tokutsu |
| title_full_unstemmed | An Evaluation of Japanese Leading Indicators Hiroshi, Yamada, Yuzo, Honda and Yasuyoshi, Tokutsu |
| title_short | An Evaluation of Japanese Leading Indicators |
| title_sort | an evaluation of japanese leading indicators |
| topic | Economics Japan |
| topic_facet | Economics Japan |
| url | https://doi.org/10.1787/jbcma-v2007-art12-en |
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