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Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators - Christian Gayer and Julien Genet
Author(s): Christian Gayer (Directorate-General for Economic and Financial Affairs) and Julien Genet (Hendyplan, Brussels)
Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators - Christian Gayer and Julien Genet (389 kB)
This paper compares different approaches to constructing composite business cycle indicators based on series from the Joint Harmonised EU Programme of Business and Consumer Surveys (BCS). The currently computed Confidence Indicators are used as benchmarks in gauging four different factor-analytic methods to extract sectoral business cycle indicators. Improvements in tracking performance are mainly found on individual country level.
(European Economy. Economic Papers 240. January 2006.
Brussels. 50pp. Tab. Free.)
|ISBN 92-79-01181-2 (online)||
|ISSN 1725-3187 (online)