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An Evaluation of Japanese Leading Indicators

Author

Listed:
  • Hiroshi Yamada
  • Yuzo Honda
  • Yasuyoshi Tokutsu

Abstract

This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or not the leading composite index and its component series truly lead the business cycle turning point dates officially determined by the Japanese government. We argue that if we utilize the evaluated properties of the component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provide one such example.

Suggested Citation

  • Hiroshi Yamada & Yuzo Honda & Yasuyoshi Tokutsu, 2008. "An Evaluation of Japanese Leading Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(2), pages 217-233.
    • Handle: RePEc:oec:stdkaa:5kzpq2x6p5g7
    DOI: 10.1787/jbcma-v2007-art12-en
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