MEASURING BUSINESS CYCLE FLUCTUATIONS: AN ALTERNATIVE PRECURSOR TO ECONOMIC CRISES

作者：Wong Shirly Siew Ling; Puah Chin Hong^*; Abu Mansor Shazali; Liew Venus Khim Sen

来源：Economic Computation and Economic Cybernetics Studies and Research, 2016, 50(4): 235-248.

• Business cycle indicator
• dynamic factor model
• turning points
• forecasting
• Malaysia

This study constructs a factor-based model of business cycle identification for the Malaysian economy via the dynamic factor approach. Our central focus is to explore a factor-based business cycle indicator (BCI) that can serve as a good gauge for economic crises. The empirical finding is in harmony with the envisaged objective; the constructed BCI produces satisfactory identification of business cycle turning points and statistically outperforms the national-owned composite leading indicator (CLI) in terms of predictive accuracy and forecasting performance. Therefore, we reckon that the constructed BCI can serve to identify the business climate and foretell approaching economic crises in a timely manner.

• 出版日期2016