A Contribution to the Chronology of Turning Points in Global Economic Activity (1980-2012)

Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 169

38 Pages Posted: 24 Jan 2014

See all articles by Valerie Grossman

Valerie Grossman

Federal Reserve Banks - Federal Reserve Bank of Dallas

Adrienne Mack

Federal Reserve Banks - Federal Reserve Bank of Dallas

Enrique Martínez-García

Federal Reserve Bank of Dallas - Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: January 22, 2014

Abstract

The Database of Global Economic Indicators (DGEI) of the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for the study of globalization. It includes a core sample of 40 countries with available indicators and broad coverage for quarterly real GDP, and the monthly series of industrial production (IP), Purchasing Managers Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates (see Grossman, Mack, and Martínez-García (2013)). This paper aims to codify in a systematic way the chronology of global business cycles for DGEI. We propose a novel chronology based on IP data for a sample of 84 countries at a monthly frequency from 1980 until now, and assess the turning points obtained as a signal of the underlying state of the economy as tracked by the indicators of DGEI. We conclude by proposing and also evaluating global recession probability forecasts up to 12 months ahead. The logit model proposed uses the DGEI aggregate indicators to offer advanced warning of turning point in the global cycle — by this metric a global downturn in 2013 does not appear likely.

Keywords: Global Business Cycles; Turning Points; Bry-Boschan Algorithm

JEL Classification: C14, C82, E32, E65

Suggested Citation

Grossman, Valerie and Mack, Adrienne and Martinez-Garcia, Enrique, A Contribution to the Chronology of Turning Points in Global Economic Activity (1980-2012) (January 22, 2014). Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 169, Available at SSRN: https://ssrn.com/abstract=2383913 or http://dx.doi.org/10.2139/ssrn.2383913

Valerie Grossman

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

Adrienne Mack

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

Enrique Martinez-Garcia (Contact Author)

Federal Reserve Bank of Dallas - Research Department ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States
214-922-5262 (Phone)

HOME PAGE: http://sites.google.com/view/emgeconomics

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