Business Cycle Measurement
We describe different ways of measuring the business cycle. Institutions such as the NBER, OECD and IMF do this by locating the turning points in series taken to represent the aggregate level of economic activity. The turning points are determined according to rules that either come from a parametric model or are nonparametric. Once located, information can be extracted on cycle characteristics. We also distinguish between cases where single and multiple series are used to represent the level of activity.
KeywordsBurns, A. Business cycle Business cycle measurement Censoring operations Coincident indices Crossing points Data filters Fluctuations vs cycles Growth cycles Markov switching (MS) processes Mitchell, W. Periodic cycles Random variables Reference cycle Spectral analysis Turning points
- Boehm, E. and Moore, G. 1984. New economic indicators for Australia, 1949–84. Australian Economic Review 4th quarter, 34–56.Google Scholar
- Bry, G., and C. Boschan. 1971. Cyclical analysis of time series: selected procedures and computer programs. Technical Paper No. 20. New York: NBER.Google Scholar
- Burns, A., and W. Mitchell. 1946. Measuring business cycles. New York: National Bureau of Economic Research.Google Scholar
- Chauvet, M., and J. Piger. 2003. Identifying business cycle turning points in real time. Federal Reserve Bank of St. Louis Review 85(2): 47–61.Google Scholar
- ECRI (Economic Cycle Research Institute). Growth rate cycle. Online. Available at http://www.businesscycle.com. Accessed 8 Sept 2006.
- Harding, D. 2003. Essays on the business cycle. Ph.D. thesis, Yale University.Google Scholar
- IMF (International Monetary Fund). 2002. Recessions and recoveries. IMF world economic outlook, April. Washington, DC: IMF.Google Scholar
- Kedem, B. 1994. Time series analysis by higher order crossings. Piscataway: IEEE Press.Google Scholar
- Mintz, I. 1969. Dating postwar business cycles: methods and their application to Western Germany, 1950–1967. Occasional Paper No. 107. New York: NBER.Google Scholar
- Mintz, I. 1972. Dating American growth cycles. In The business cycle today, ed. V. Zarnowitz. New York: NBER.Google Scholar
- Moore, G., and V. Zanrowitz. 1986. The development and role of the National Bureau of Economic Research’s business cycle chronologies. In The American business cycle: Continuity and change, ed. R. Gordon. Chicago: University of Chicago Press.Google Scholar
- National Centre for Econometric Research. MBBQ Code. Online. Available at http://www.ncer.edu.au/data/. Accessed 8 Sept 2006.
- NBER (National Bureau of Economic Research). 2003. The NBER’s recession dating procedure. Online. Available at http://www.nber.org/cycles/recessions.html. Accessed 25 Aug 2006.
- OECD (Organisation for Economic Co-operation and Development). Leading indicators. Online. Available at http://www.oecd.org/std/cli. Accessed 25 Aug 2006.
- Sichel, D. 1994. Inventories and the three phases of the business cycle. Journal of Business and Economic Statistics 12: 269–277.Google Scholar
- Stock, J., and M. Watson. 1991. A probability model of the coincident economic indicators. In Leading economic indicators: New approaches and forecasting records, ed. K. Lahiri and G. Moore. Cambridge: Cambridge University Press.Google Scholar
- Watson, M. 1994. Business cycle durations and postwar stabilization of the U.S. economy. American Economic Review 84: 24–46.Google Scholar
- Watson, M. Gauss code for Bry Boschan Algorithm. Online. Available at http://www.wws.princeton.edu/mwatson. Accessed 8 Sept 2006.