Identification of Industrial Cycle Leading Indicators Using Causality Test

• Authors: Rafał Kasperowicz
• Languages of publication: EN

Abstracts

EN

The biggest business activity fluctuation analysts’ attention is focused on leading indicators. It is due to their utility in forecasting resulting form their properties. Leading indicators are aggregates describing a part of economy (e.g. sector, branch) and, therefore, they also partly anticipate new behaviours of the whole of the economy. The first aim of the paper is to identify industrial business cycle leading indicators in Poland. The second aim is to estimate a leading index of cyclical fluctuations of industry. When identifying the fluctuations, first one has to purify the time-series of incidental and seasonal fluctuations. Then, the time-series underwent the adjustment procedure Census X11 and Hodrick-Prescott’s filter. This is the way in which the cyclical fluctuations of the time-series were obtained. Seeking variables determining leading indicators of the reference variable was conducted on the basis of Granger causality analysis. Series selected in that way were used to create a forecasting econometric model (leading index).

Keywords

EN

business cycle; industrial fluctuations; leading indicators; leading index; Granger causality

• Publisher: Instytut Badań Gospodarczych
• Journal: Equilibrium. Quarterly Journal of Economics and Economic Policy
• Year: 2010
• Volume: 5
• Issue: 2

Dates

published

2010

online

2010-12-01

Contributors

author

Rafał Kasperowicz

• Poznań University of Economics

Identifiers

DOI

10.12775/EQUIL.2010.024