Roberto S. Mariano
;
Yasutomo Murasawa

a new coincident index of business cycles based on monthly and quarterly series (replication data)

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.

Data and Resources

Suggested Citation

Mariano, Roberto S.; Murasawa, Yasutomo (2003): A new coincident index of business cycles based on monthly and quarterly series (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022314.1312481448