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Zmeny zloženia kompozitného predstihového indikátora Slovenska v čase
[Changes of Composite Leading Indicator Composition over Time]

Author

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  • Andrea Tkáčová
  • Veronika Kišová

Abstract

Cyclical behavior of the economy can be monitored and predicted with the help of composite leading indicator (CLI) which is an aggregate index of several individual indicators and is statistical relevant for analyzing and forecasting of reference series. This article is focus on construction of CLI for Slovakia and its changes over time. For its construction is used combination of methodologies of OECD and Institute of Informatics and Statistics (Infostat). These methodologies are based on chosen reference series and 124 economic indicators, filtering of time series with Hodrick-Prescott filter (HP filter), normalization of time series, cross correlation and creation of CLI with system of same and different weights. On the base of economic indicator analysis are selected different groups of leading cyclical indicators in seven different time periods. It means that exist changes of CLI composition over time. The best predictable abilities of Slovak business cycle has CLI constructed from time period 2010-2015. On this base was created short-term forecast of Slovak business cycle which supposed economic grow in second and third quarter 2017. Positive GDP growth expectations create space for new investment opportunities as well as government restrictions on public expenditures. The result of our analysis indicate that in the future we can expect new changes in composition of CLI for Slovak economy.

Suggested Citation

  • Andrea Tkáčová & Veronika Kišová, 2017. "Zmeny zloženia kompozitného predstihového indikátora Slovenska v čase [Changes of Composite Leading Indicator Composition over Time]," Politická ekonomie, Prague University of Economics and Business, vol. 2017(5), pages 583-600.
    • Handle: RePEc:prg:jnlpol:v:2017:y:2017:i:5:id:1163:p:583-600
    DOI: 10.18267/j.polek.1163
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    References listed on IDEAS

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    1. Ronny Nilsson & Gyorgy Gyomai, 2011. "Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters," OECD Statistics Working Papers 2011/4, OECD Publishing.
    2. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, July.
    3. Henk Kranendonk & Jan Bonenkamp & Johan Verbruggen, 2004. "A leading indicator for the Dutch economy; methodological and empirical revision of the CPB system," CPB Discussion Paper 32, CPB Netherlands Bureau for Economic Policy Analysis.
    4. Henk Kranendonk & Jan Bonenkamp & Johan Verbruggen, 2004. "A leading indicator for the Dutch economy; methodological and empirical revision of the CPB system," CPB Discussion Paper 32.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
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    More about this item

    Keywords

    composite leading indicator (CLI); business cycle; gross domestic product; cyclical indicators; cross correlation;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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