A new coincident index of business cycles based on monthly and quarterly series

被引：282

作者：

Mariano, RS

Murasawa, Y

机构：

[1] Univ Osaka Prefecture, Coll Econ, Sakai, Osaka 5998531, Japan

[2] Singapore Management Univ, Sch Econ & Social Sci, Singapore, Singapore

[3] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2003年 / 18卷 / 04期

关键词：

D O I：

10.1002/jae.695

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. Copyright (C) 2002 John Wiley Sons, Ltd.

引用

页码：427 / 443

页数：17

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