Construct Chinese Business Cycle Coincident Indez with Frequency Band Approach
The aim of this paper is to build coincident indices of China with a frequency band approach, considering that economic variables present different correlation and lead/lag at different frequencies. We chose variables to be included in the composite indices according to their properties of co-movement with the reference cycle at different frequency bands. Then we compile at each frequency band the selected indicators, and by summation of the results regarding different frequency bands, we obtain the final result of composite index of China. Comparing this index with the reference cycle, we find that it will gain by taking the frequency diversity of co-movement into account in the index compiling process.
Economic Cycle Coincident Indez Liquidity Constraints Band Pass Filters
DONG FengLiang
School of Management, Changchun Institute of Technology
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-5
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）