A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series

25 Pages Posted: 23 Jul 2002

See all articles by Roberto S. Mariano

Roberto S. Mariano

Singapore Management University

Yasutomo Murasawa

Konan University

Date Written: April 2002

Abstract

Popular monthly coincident indices of business cycles, e.g., the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP.

Suggested Citation

Mariano, Roberto S. and Murasawa, Yasutomo, A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series (April 2002). Available at SSRN: https://ssrn.com/abstract=317983 or http://dx.doi.org/10.2139/ssrn.317983

Roberto S. Mariano

Singapore Management University ( email )

50 Stamford Rd.
Singapore 912409, 178899
Singapore

Yasutomo Murasawa (Contact Author)

Konan University ( email )

8-9-1 Okamoto Higashinadaku
Kobe 658-8501
Japan

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