Wong, Shirly Siew-Ling and Puah, Chin-Hong and Abu Mansor, Shazali and Liew, Venus Khim-Sen (2012): Early warning indicator of economic vulnerability.
Download (215kB) | Preview
The initiative to capture the information content behind the rise and fall of the business cycle has popularized the study of leading indicators. Many of the foreign experiences shared by economically advanced countries reveal that the leading indicator approach works well as a short-term forecasting tool. Thus, exploring an indicator-based forecasting tool for business cycle analysis and economic risk monitoring would provide insight into the Malaysian economy as well as that of other emerging countries. By extending the ideology of indicator construction from the US National Bureau of Economic Research (NBER), the present study demonstrated the strong potential of the leading indicator approach to be a good gauge of the business cycle movement in addition to being a practical and functional early warning indicator for economic vulnerability prediction.
|Item Type:||MPRA Paper|
|Original Title:||Early warning indicator of economic vulnerability|
|Keywords:||Business Cycle; Composite Leading Indicator; Early Warning Indicator|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology; Computer Programs > C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications
|Depositing User:||Chin-Hong Puah|
|Date Deposited:||09. Jul 2012 03:35|
|Last Modified:||13. Feb 2013 09:55|
Ahmad, N. (2003). Malaysia Economic Indicators: Leading, Coincident and Lagging Indicators. Paper presented at the Workshop on Composite Leading Indicators and Business Tendency Survey, Bangkok.
Artis, M. J., Bladen-Hovell, R. C., & Zhang, W. (1995). Turning Points in the International Business Cycle: An Ex Post Analysis of the OECD Leading Indicators Series for the G-7 Countries. OECD Economic Studies, 24(1), 125-165.
Atabek, A., Coşar, E.E., & Şahinöz, S. (2005). A New Composite Leading Indicator for Turkish Economic Activity. Emerging Markets Finance and Trade, 41(1), 45-64.
Bascos-Deveza, T. (2006). Early Warning System on the Macroeconomy Identification of Business Cycles in the Philippines. Bangko Sentral Review, January, 7-16.
Bodart, V. Kholodilin, K.A., & Shadman-Mehta, F. (2003). Dating and Forecasting the Belgian Business Cycle. Institut de Recherches Economiques et Sociales (IRES) Discussion Paper, No. 0318.
Bordoloi, S., & Rajesh, R. (2007). Forecasting the Turning Points of the Business Cycles with Leading Indicators in India: A Probit Approach. Paper Prepared at the Singapore Economic Review Conference, Singapore.
Bry, G., & Boschan, C. (1971). Cyclical Analysis of Time Series, Selected Procedures and Computer Programs (Technical Paper 20). Massachusetts Avenue, Cambridge: National Bureau of Economic Research, Columbia University Press.
Burns, A.F., & Mitchell, W.C. (1946). Measuring Business Cycles. In NBER (Ed.), Studies in Business Cycle. New York: Colombia University Press.
de Leeuw, F. (1991). Towards a Theory of Leading Indicators In Lahiri, K. and Moore, G.D. (Eds.), Leading Economic Indicators: New Approaches and Forecasting Records. Cambridge: Cambridge University Press.
Department of Statistics Malaysia. Malaysia Economic Indicators: Leading, Coincident and Lagging Indexes, various issues. Kuala Lumpur: Department of Statistics Malaysia.
Diebold F.X., & Rudebusch G.D. (1989). Scoring the Leading Indicators, Journal of Business, 60, 369-391.
Du Plessis, S.A. (2006). Business cycles in Emerging Market Economies: A New View of the Stylized Facts. University of Stellenbosch Economic Working Papers, No. 2/2006.
Everhart, S.S., and Duval-Hernandez, R. (2000). Leading Indicator Project: Lithuania. Policy Research Dissemination Center, Policy Research Working Paper Series 2365.
Everhart, S.S., & Duval-Hernandez, R. (2001). Short-Term Macro Monitoring: Leading Indicator Construction-Mexico. Georgia State University, Andrew Young School of Policy Studies, Working Paper 01-8.
Gandolfo, G. (1981). Qualitative Analysis and Econometric Estimation of Continuous Time Dynamic Models. Amsterdam: North-Holland Publishing Company.
Greer, M. (2003). Directional Accuracy Tests of Long-Term Interest Rate Forecast. Journal of Forecasting, 19(2), 291-298.
Herrera, S., & Garcia, C. (1999). User's Guide to an Early Warning System for Macroeconomic Vulnerability in Latin American Countries. Policy Research Dissemination Center, Policy Research Working Paper Series 2233.
Hodrick, R.J., & Prescott, E.C. (1980). Postwar U.S. Business Cycles: An Empirical Investigation. Carnegie Mellon University Discussion Paper, No. 451.
International Monetary Fund (IMF). International Financial Statistics, various issues. Washington, DC: IMF.
Issler, J.V., Notini, H.H., & Rodrigues, C.F. (2011). Constructing Coincident and Leading Indices of Economic Activity for the Brazilian Economy. Graduate School of Economics, Getulio Vargas Foundation, Economics Working Papers, No. 714.
Jaya, M., Bhupal, S., & Rajeev, J. (2003). Business Cycles and Leading Indicators of Industrial Activity in India, MPRA Paper, No. 12149.
Jones, M., & Ferris, K. (1993). Market Movers: Understanding and Using Economic Indicators from the Big Five Economies. New York: McGraw-Hill.
Kholodilin, K.A., & Siliverstovs, B. (2005). On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence. DIW Berlin, German Institute for Economic Research, Discussion Paper 522.
Klucik, M., & Haluska, J. (2008). Construction of Composite Leading Indicator for the Slovak Economy. Scientific Annals of the “Alexandru Ioan Cuza” University of Iasi – Economic Sciences Section, 363-370.
Kranendonk, H., Bonenkamp, J., & Verbuggen, J. (2005). A Leading Indicator for the Dutch Economy. Central Planning Bureau (CPU) Discussion Paper, No. 32.
Mitchell, W.C., & Burns, A.F. (1938). Statistical Indicators of Cyclical Revivals, New York: NBER.
Moore, G.H., & Zarnowitz, V. (1986). The Development and Role of the National Bureau of Economic Research: Business Cycle Chronologies In: Gordon, R. A. (Ed.), The American Business Cycle: Continuity and Change. Chicago: University of Chicago Press for NBER.
Neftci, S. N. (1982). Optimal Prediction in Cyclical Downturn. Journal of Economic Dynamic and Control, 4(1), 225-41.
Niemira, P. M., & Klein, P.A. (1994). Forecasting Financial and Economic Cycles. New York: John Wiley & Sons, Inc.
Organization for Economic Cooperation and Development (OECD). (2001). OECD Composite Leading Indicators: A Tool for Short-Term Analysis. France: OECD.
Phillips, K.R. (1998). The Composite Index of Leading Economic Indicators: A Comparison of Approaches. Paper Presented at the Workshop on Regional Economic Indicator Models, University of Minho, Braga, Portugal.
Polasek, W. (2010). Dating and Exploration of the Business Cycle in Iceland. The Rimini Centre for Economic Analysis, Working Paper 10-13.
Samuelson, P.A. (1976). Optimality of Sluggish Predictors under Ergodic Probabilities, International Economic Review, 17, 1-7.
Schirwitz, B. (2009). A Comprehensive German Business Cycle Chronology, Empirical Economics, 37(2), 287-301.
The Conference Board (2000). Business Cycle Indicators Handbook. New York: The Conference Board.
Wong, S.S.L., Mansor, S. A., Puah, C.H., & Liew, V.K.S. (2012). Forecasting Malaysia Business Cycle Movement: Empirical Evidence from Composite Leading Indicator. Munich Personal RePEc Archive (MPRA) Paper, No. 36649.
Yap, J. T. (2001). System of Leading Indicators for the ASEAN Surveillance Process. (Final Report for Capacity Building in Support for the ASEAN Surveillance Process). Manila: Asian Development Bank.
Yap, M.M.C. (2009). Assessing Malaysia’s Business Cycle Indicators. Monash University Discussion Paper, 04/09.
Zalewski, K. (2009). Forecasting Turning Points with Composite Leading Indicators – The Case of Poland, Ekonomia Journal, 24, 61-93.
Zhang, W.D. & Zhuang, J.Z. (2002). Leading Indicators of Business Cycles in Malaysia and the Philippines. Asian Development Bank, Economics and Research Department, Working Paper Series, No. 32.