IDEAS home Printed from https://ideas.repec.org/p/bdm/wpaper/2015-01.html
   My bibliography  Save this paper

A note on the diffusion of business cycles

Author

Listed:
  • Guerrero Santiago
  • Martínez-Ovando Juan Carlos

Abstract

For over five decades, diffusion indexes have been widely used by statistical and economic agencies as an instrument to summarize the dynamics of a group of disaggregated time-series economic data. In this note we revise the methods for constructing diffusion indexes, propose a novel generalized diffusion index and apply it to the U.S. State Coincident Indexes published by the Federal Reserve Bank of Philadelphia. We show that the proposed index is more informative and conclusive regarding the stage of the aggregate business cycle than the traditional indexes used by some statistical agencies. Moreover, one of the unique properties of the generalized diffusion index is that it allows a consistent reading of the contributions of its constituent units.

Suggested Citation

  • Guerrero Santiago & Martínez-Ovando Juan Carlos, 2015. "A note on the diffusion of business cycles," Working Papers 2015-01, Banco de México.
    • Handle: RePEc:bdm:wpaper:2015-01
    as

    Download full text from publisher

    File URL: https://www.banxico.org.mx/publications-and-press/banco-de-mexico-working-papers/%7BDDA9F0AA-B46A-7FF8-0B4C-7F559FC7EE17%7D.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Geoffrey H. Moore, 1961. "Sources and Descriptions: Diffusion Indexes," NBER Chapters, in: Business Cycle Indicators, Volume 2, Basic Data on Cyclical Indicators, pages 65-70, National Bureau of Economic Research, Inc.
    2. Geoffrey H. Moore, 1961. "Business Cycle Indicators, Volume 1," NBER Books, National Bureau of Economic Research, Inc, number moor61-1.
    3. Geoffrey H. Moore, 1961. "Introductory pages to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages -35--15, National Bureau of Economic Research, Inc.
    4. Geoffrey H. Moore, 1961. "Diffusion Indexes, Rates of Change, and Forecasting," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages 282-293, National Bureau of Economic Research, Inc.
    5. Guerrero Santiago & Martínez-Ovando Juan Carlos, 2014. "Generalized Diffusion Indexes of Mexican State and Sectorial Economic Activity," Working Papers 2014-16, Banco de México.
    6. Theodore M. Crone & Alan Clayton-Matthews, 2005. "Consistent Economic Indexes for the 50 States," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 593-603, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Michael W. McCracken & Serena Ng, 2016. "FRED-MD: A Monthly Database for Macroeconomic Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
    2. Makoto Muto & Tamotsu Onozaki & Yoshitaka Saiki, 2023. "Regional Synchronization during Economic Contraction: The Case of the U.S. and Japan," Applied Economics, Taylor & Francis Journals, vol. 55(30), pages 3472-3486, June.
    3. Andrew Filardo & Marco Jacopo Lombardi & Marek Raczko, 2018. "Measuring financial cycle time," BIS Working Papers 755, Bank for International Settlements.
    4. Matthew Jaremski & David C. Wheelock, 2022. "Interbank Networks and the Interregional Transmission of Financial Crises: Evidence from the Panic of 1907," Working Papers 2022-020, Federal Reserve Bank of St. Louis, revised Sep 2023.
    5. Ilse Mintz, 1974. "Dating United States Growth Cycles," NBER Chapters, in: Explorations in Economic Research, Volume 1, Number 1, pages 1-113, National Bureau of Economic Research, Inc.
    6. Cyrille Lenoel & Garry Young, 2020. "Real-time turning point indicators: Review of current international practices," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-05, Economic Statistics Centre of Excellence (ESCoE).
    7. Dierkes, Meinolf, 1977. "Die Analyse von Zeitreihen und Longitudinalstudien," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 111-169.
    8. Mayer, Thomas, 1977. "A Comparison of Unemployment Rates Prior to the Great Depression and in the Postwar Period," Working Papers 229117, University of California, Davis, Department of Economics.
    9. Yao, Vincent W. & Sloboda, Brian W., 2005. "Forecasting Cycles in the Transportation Sector," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 44(2).
    10. Yao, Vincent W. & Solboda, Brian, 2005. "Forecasting Cycles in the Transportation Sector," 46th Annual Transportation Research Forum, Washington, D.C., March 6-8, 2005 208159, Transportation Research Forum.
    11. Xun Zhang & Guihuan Zheng & Wei Shang & Shangying Xu & Xiaoguang Yang & Kin Keung Lai & Shou-Yang Wang, 2009. "An Integrated Decision Support Framework For Macroeconomic Policy Making Based On Early Warning Theories," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 335-359.
    12. Marcel, Mario., 1990. "Leading indicators for employment forecasting in developing countries," ILO Working Papers 992788013402676, International Labour Organization.
    13. Guerrero Santiago & Martínez-Ovando Juan Carlos, 2014. "Generalized Diffusion Indexes of Mexican State and Sectorial Economic Activity," Working Papers 2014-16, Banco de México.
    14. Enrique A. López-Enciso, 2017. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Borradores de Economia 986, Banco de la Republica de Colombia.
    15. Raquel Nadal Cesar Gonçalves, 2022. "Nowcasting Brazilian GDP with Electronic Payments Data," Working Papers Series 564, Central Bank of Brazil, Research Department.
    16. Geoffrey H. Moore & Victor Zarnowitz, 1986. "Appendix A: The Development and Role of the National Bureau of Economic Research's Business Cycle Chronologies," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 735-780, National Bureau of Economic Research, Inc.
    17. Brave, Scott A. & Gascon, Charles & Kluender, William & Walstrum, Thomas, 2021. "Predicting benchmarked US state employment data in real time," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1261-1275.
    18. Sung Il Hong & Michael Mondello & Dennis Coates, 2011. "An Examination of the Effects of the Recent Economic Crisis on Major League Baseball (MLB) Attendance Demand," Working Papers 1123, International Association of Sports Economists;North American Association of Sports Economists.
    19. Fieldhouse, Andrew & Howard, Sean & Koch, Christoffer & Munro, David, 2022. "A New Claims-Based Unemployment Dataset: Application to Postwar Recoveries Across U.S. States," GLO Discussion Paper Series 1066, Global Labor Organization (GLO).
    20. Ahking, Francis W., 2014. "Measuring U.S. business cycles: A comparison of two methods and two indicators of economic activities," Journal of Economic and Social Measurement, IOS Press, issue 4, pages 199-216.

    More about this item

    Keywords

    Diffusion indexes; coincident indexes; business cycles; monitoring;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdm:wpaper:2015-01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Subgerencia de desarrollo de sistemas (email available below). General contact details of provider: https://edirc.repec.org/data/bangvmx.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.