Pub Date : 2024-07-07DOI: 10.1007/s41549-024-00097-5
Marc Wildi
{"title":"Business-Cycle Analysis and Zero-Crossings of Time Series: A Generalized Forecast Approach","authors":"Marc Wildi","doi":"10.1007/s41549-024-00097-5","DOIUrl":"https://doi.org/10.1007/s41549-024-00097-5","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":" 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141670500","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-24DOI: 10.1007/s41549-024-00096-6
Kristian Jönsson
{"title":"Simulation-Based Analysis of Real-Time Reliability for Trend/Cycle Decompositions","authors":"Kristian Jönsson","doi":"10.1007/s41549-024-00096-6","DOIUrl":"https://doi.org/10.1007/s41549-024-00096-6","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"61 22","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141102165","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-04DOI: 10.1007/s41549-024-00094-8
Lucia Modugno
{"title":"Evaluating Qualitative Expectational Data on Investments from Business Surveys","authors":"Lucia Modugno","doi":"10.1007/s41549-024-00094-8","DOIUrl":"https://doi.org/10.1007/s41549-024-00094-8","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"3 9","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141014120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-01DOI: 10.1007/s41549-024-00095-7
André Nunes Maranhão
{"title":"Brazilian Business Cycle Analysis in a High-Dimensional and Time-Irregular Span Context","authors":"André Nunes Maranhão","doi":"10.1007/s41549-024-00095-7","DOIUrl":"https://doi.org/10.1007/s41549-024-00095-7","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"60 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141052593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-28DOI: 10.1007/s41549-024-00093-9
Viv B. Hall, Peter Thomson
{"title":"Selecting a Boosted HP Filter for Growth Cycle Analysis Based on Maximising Sharpness","authors":"Viv B. Hall, Peter Thomson","doi":"10.1007/s41549-024-00093-9","DOIUrl":"https://doi.org/10.1007/s41549-024-00093-9","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"137 21","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140369643","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-05DOI: 10.1007/s41549-023-00091-3
J. P. L. Deepak, Yavana Rani Subramanian, J. J. Lalitha, K. Vidhya
{"title":"Optimum Level of Currency Reserves: Investigation and Forecasting of Indian Rupee Using ARIMA Model","authors":"J. P. L. Deepak, Yavana Rani Subramanian, J. J. Lalitha, K. Vidhya","doi":"10.1007/s41549-023-00091-3","DOIUrl":"https://doi.org/10.1007/s41549-023-00091-3","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"33 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139865761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-05DOI: 10.1007/s41549-023-00091-3
J. P. L. Deepak, Yavana Rani Subramanian, J. J. Lalitha, K. Vidhya
{"title":"Optimum Level of Currency Reserves: Investigation and Forecasting of Indian Rupee Using ARIMA Model","authors":"J. P. L. Deepak, Yavana Rani Subramanian, J. J. Lalitha, K. Vidhya","doi":"10.1007/s41549-023-00091-3","DOIUrl":"https://doi.org/10.1007/s41549-023-00091-3","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"18 11","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139805950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-25DOI: 10.1007/s41549-023-00089-x
Koki Kyo, Genshiro Kitagawa
{"title":"A Moving Linear Model Approach for Extracting Cyclical Variation from Time Series Data","authors":"Koki Kyo, Genshiro Kitagawa","doi":"10.1007/s41549-023-00089-x","DOIUrl":"https://doi.org/10.1007/s41549-023-00089-x","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"37 14","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139238054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-23DOI: 10.1007/s41549-023-00088-y
Klaus Abberger, Michael Graff, Oliver Müller, Boriss Siliverstovs
Abstract This paper compares algorithms to deal with the problem of missing values in higher frequency data. We refer to Swiss business tendency survey data at monthly and quarterly frequency. There is a wide range of imputation algorithms. To evaluate the different approaches, we apply them to series that are de facto monthly, from which we create quarterly data by deleting two out of three data points from each quarter. At the same time, the monthly series are ideal to deliver higher frequency information for multivariate imputation algorithms. With this set of indicators, we conduct imputations of monthly values, resorting to two univariate and four multivariate algorithms. We then run tests of forecasting accuracy by comparing the imputed monthly data with the actual values. Finally, we take a look at the congruence of an imputed monthly series from the quarterly survey question on firms’ capacity utilisation with other monthly data reflecting the Swiss business cycle. The results show that an algorithm based on the Chow and Lin approach, amended with a variable pre-selection procedure, delivers the most precise imputations, closely followed by the standard Chow-Lin algorithm and then multiple regression. The cubic spline and the EM algorithm do not prove useful.
{"title":"Imputing Monthly Values for Quarterly Time Series: An Application Performed with Swiss Business Cycle Data","authors":"Klaus Abberger, Michael Graff, Oliver Müller, Boriss Siliverstovs","doi":"10.1007/s41549-023-00088-y","DOIUrl":"https://doi.org/10.1007/s41549-023-00088-y","url":null,"abstract":"Abstract This paper compares algorithms to deal with the problem of missing values in higher frequency data. We refer to Swiss business tendency survey data at monthly and quarterly frequency. There is a wide range of imputation algorithms. To evaluate the different approaches, we apply them to series that are de facto monthly, from which we create quarterly data by deleting two out of three data points from each quarter. At the same time, the monthly series are ideal to deliver higher frequency information for multivariate imputation algorithms. With this set of indicators, we conduct imputations of monthly values, resorting to two univariate and four multivariate algorithms. We then run tests of forecasting accuracy by comparing the imputed monthly data with the actual values. Finally, we take a look at the congruence of an imputed monthly series from the quarterly survey question on firms’ capacity utilisation with other monthly data reflecting the Swiss business cycle. The results show that an algorithm based on the Chow and Lin approach, amended with a variable pre-selection procedure, delivers the most precise imputations, closely followed by the standard Chow-Lin algorithm and then multiple regression. The cubic spline and the EM algorithm do not prove useful.","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"190 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135959931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-01DOI: 10.1007/s41549-023-00087-z
Adem Feto, M. K. Jayamohan, Arnis Vilks
{"title":"Applicability and Accomplishments of DSGE Modeling: A Critical Review","authors":"Adem Feto, M. K. Jayamohan, Arnis Vilks","doi":"10.1007/s41549-023-00087-z","DOIUrl":"https://doi.org/10.1007/s41549-023-00087-z","url":null,"abstract":"","PeriodicalId":55850,"journal":{"name":"Journal of Business Cycle Research","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135429200","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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