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Deviation Cycles in Manufacturing: Business Cycle Measurement and Leading Indicators

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  • Ard H. J. den Reijer

Abstract

The deviation cycles in the manufacturing industry of nine OECD-countries are identified by applying the Christiano-Fitzgerald band-pass filter. Turning points, low- and high-growth phases and other descriptive statistics are derived from these deviation cycles. A regression based test statistic is applied to test for duration dependence. Moreover, the international linkage between the cyclical motions in the manufacturing industry of two countries is investigated by measuring the degree of synchronisation. In addition to measuring the cyclical fluctuation, a composite leading indicator is constructed which replicates and predicts the deviation cycle in the manufacturing industry. This composite leading indicator is a single index composed of economic, financial and expectation variables possessing leading properties.

Suggested Citation

  • Ard H. J. den Reijer, 2007. "Deviation Cycles in Manufacturing: Business Cycle Measurement and Leading Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(1), pages 43-77.
    • Handle: RePEc:oec:stdkaa:5l4kx1hg1tq4
    DOI: 10.1787/jbcma-v2007-art3-en
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