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The Dutch business cycle: A finite sample approximation of selected leading indicators

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  • Ard H. J. den Reijer

Abstract

In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass filtter is employed to isolate the cycle using the definition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The coincident business cycle index is based on industrial production, household consumption and staffing employment. These three variables represent key macroeconomic developments, which are also analysed by both the CEPR and NBER dating committees. The composite leading index consists of eleven indicators representing different sectors in the economy: three financial series, four business and consumer surveys and four real activity variables, of which two supply - and two demand-related. The pseudo real-time performance of the composite indicator is analyzed by the extent to which the indicator gets revised as more data becomes available. Finally, the composite leading indicator is employed in a bivariate Vector Autoregressive model to forecast GDP growth rates.

Suggested Citation

  • Ard H. J. den Reijer, 2010. "The Dutch business cycle: A finite sample approximation of selected leading indicators," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2009(2), pages 89-110.
    • Handle: RePEc:oec:stdkab:5ks9zc0t7rg2
    DOI: 10.1787/jbcma-2009-5ks9zc0t7rg2
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    Cited by:

    1. den Reijer, Ard H.J., 2011. "Regional and sectoral dynamics of the Dutch staffing labor cycle," Economic Modelling, Elsevier, vol. 28(4), pages 1826-1837, July.

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