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A mixed-frequency smooth measure for business conditions

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  • Yi-Ting Chen

    (National Taiwan University)

Abstract

We propose measuring business conditions via estimating a smooth function of time that serves as a common factor for explaining the comovement of economic indicators across the occurred business cycles. This smooth measure is useful for reducing the noises in assessing the state of business conditions, and can be easily established using mixed-frequency indicators and updated in real time. We also conduct an empirical study to show its usefulness in real data.

Suggested Citation

  • Yi-Ting Chen, 2021. "A mixed-frequency smooth measure for business conditions," Empirical Economics, Springer, vol. 61(4), pages 1699-1724, October.
    • Handle: RePEc:spr:empeco:v:61:y:2021:i:4:d:10.1007_s00181-020-01937-w
    DOI: 10.1007/s00181-020-01937-w
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    References listed on IDEAS

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    Cited by:

    1. Kajal Lahiri & Cheng Yang, 2023. "A tale of two recession-derivative indicators," Empirical Economics, Springer, vol. 65(2), pages 925-947, August.
    2. Marcin Olkiewicz, 2022. "The Impact of Economic Indicators on the Evolution of Business Confidence during the COVID-19 Pandemic Period," Sustainability, MDPI, vol. 14(9), pages 1-17, April.

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    More about this item

    Keywords

    Business conditions; Coincident indices; Mixed frequency; Smooth measure;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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