Identification of industrial cycle leading indicators using causality test
DOI:
https://doi.org/10.12775/EQUIL.2010.024Keywords:
business cycle, industrial fluctuations, leading indicators, leading index, Granger causalityAbstract
The biggest business activity fluctuation analysts? attention is called to leading indicators. It is due to their utility in forecasting resulting form their properties. Leading indicators are aggregates describing a part of economy (e.g. sector, branch) and therefore also they partly anticipate new behaviours of all the economy. The first aim of the paper is to identify industrial business cycle leading indicators in Poland. The second aim is the estimation of a leading index of cyclical fluctuations of industry. When identifying the fluctuations, first one has to purify the time-series of incidental and seasonal fluctuations. According to that the time-series underwent adjustment procedure Census X11 and Hodrick-Prescott?s filter. These way cyclical fluctuations of time series were obtained. Seeking variables determining leading indicators of reference variable was conducted on the basis of Granger causality analysis. Series selected in that way were used to create forecasting econometric model (leading index).
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