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Badanie zmienności cyklicznej czułych wskaźników koniunktury

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Matkowski Z., Matkowska J., Błaszczak J., Jasny T., Pęczkowski M.

Prace i Materiały Instytutu Rozwoju Gospodarczego SGH

1997

vol. 51

167-199

This paper presents the results of the analysis of cyclical variability of over 100 economic variables pertinent to the cyclical movement of Poland’s economy over the period 1975-1995 (filled with monthly or quarterly data). The original database includes 107 individual variables and 17 composite indicators, all expressed as uniform indices based on 1992 avg.=100. The research was accomplished in three phases: (a) decomposition of time series using X11-ARIMA, coupled with seasonal adjustment and MCD m.a. smoothing; (b) analysis of cyclical components isolated by means of PAT procedure (or alternatively, by linear regression); (c) analysis of cross-corelation against the reference cycle and determination of the respective leads and lags. In each phase, the number of variables was reduced, according to the adopted quality requirements. The final outcome appears as the set of 53 variables accepted for the construction of composite indicators of business activity.

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1 Prace i Materiały Instytutu Rozwoju Gospodarczego SGH

1 Błaszczak J.

1 Jasny T.

1 Matkowska J.

1 Matkowski Z.

1 Pęczkowski M.

1 1997

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Badanie zmienności cyklicznej czułych wskaźników koniunktury