In this paper the issue of globalisation and deteriorating precision of domestically oriented frameworks is addressed. A hypothesis that the effect of international trends on the growth of economy is increasing over time is formed. In order to validate this a method of composing foreign series...

In this paper the issue of globalisation and deteriorating precision of domestically oriented frameworks is addressed. A hypothesis that the effect of international trends on the growth of economy is increasing over time is formed. In order to validate this a method of composing foreign series...

In this paper coincident and leading economic indicators are analysed and used to construct coincident, leading and recession indexes for the Lithuanian economy by applying Stock and Watson (1989) methodology. Coincident and leading indexes describe the dynamics of the Lithuanian economy fairly...

We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...

We investigate whether the boosted HP filter (bHP) proposed by Phillips and Shi (2021) might be preferred for New Zealand trend and growth cycle analysis, relative to using the standard HP filter (HP1600). We do this for a representative range of quarterly macroeconomic time series typically...

This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning...

We analyze empirically whether trade and financial linkages between two countries increase the synchronization of their business cycles directly or indirectly. In a system of equations, we use a newly processed database on the bilateral linkages of a small open economy, namely Spain. We prefer...

We use the information content in the decisions of the NBER Business cycle Dating Committee to construct coincident and leading indices of economic activity for United States. Specifically, we use canonical correlation analysis to filter out the noisy information contained in the coincident...

One of the most significant impediments for short-term forecasts is the frequency of publishing GDP. At present, national institutes of statistics are publishing officially registered GDP only quarterly. In our study, we tried to build a composite indicator based on usually monthly data and to...