Naslov
Forecasting Business and Growth Cycles in Croatia

Autori
Bačić, Katarina ; Vizek, Maruška

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
29th CIRET Conference

Mjesto i datum
Santiago, Čile, 08.10.2008. - 11.10.2008

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
leading indicator; forecasting; growth cycles
(leading indicator; forecasting; growth cycles.)

Sažetak
This paper is a report of the construction and the performance a composite leading indicator of the Croatian economy – CROLEI, whose purpose is to forecast classical economic cycles as well as growth cycles. Real economic activity is approximated by the movement of the industrial production index (the referent series), both in levels and in annual growth rates. The structure of the paper follows the revision of CROLEI forecasting system from 2007, which is based on NBER leading indicators approach. Hence after briefly describing the characteristics of the database, we determine the turning points in the referent series using the Bry-Boschan algorithm. By combining the graphic method, HP filter, Granger causality and Wald exclusion test on potential leading time series and the reference series, both in levels and in annual growth rates, we are able to compile a list of 15 best leading series. Recursive estimation of Granger test is additionally applied to check whether the potential time series´ leading properties are stabile over time. We then construct 14 composite leading indices from 15 best leading series. In order to decide which composite indicator yields the best forecasts, we again use Granger causality test for the reference series and each composite index, in levels and in annual growth rates. New CROLEI indicator is composed of 7 best leading series and leads the reference series by 8 months. Additionally, we constructed a diffusion index which also leads the reference series consistently and has a similar cyclical pattern to that of the referent series.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA