VARX MODEL USING LEADING CYCLES

• Authors: Kľúčik Miroslav
• Languages of publication: EN

Abstracts

EN

Composite leading indicators serve to the purpose of early identification of the stage of business cycle and its turning points. The indicators are constructed on the basis of statistical analysis for predicting the phase of business cycle via the VARX model approach. The model of Slovakia is composed of three variables: gross domestic product as reference series (endogenous variable), composite leading indicator for the domestic economy (endogenous variable) and composite leading indicator of external environment (exogenous variable). The quality of the model is verified using statistical tests of stationarity and causality of variables and tests of residuals. The VARX model exhibits some ability to adapt to changes of the business cycle, but the quantitative projections are rather unable to predict accurately the turning points.

Keywords

EN

BUSINESS CYCLE; VARX MODEL; LEADING INDICATORS; SMALL ECONOMY; SLOVAKIA

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2013
• Volume: 61
• Issue: 3
• Pages: 270 – 282

Contributors

author

Kľúčik Miroslav

• VŠB-Technická univerzita Ostrava, Ekonomická fakulta, Katedra ekonomie, Sokolská třída 33, 701 21 Ostrava, Czech Republic