Affiliation:
1. NIPE and Department of Economics University of Minho Portugal
2. Department of Mathematics and Applications University of Minho Portugal
Abstract
AbstractThis paper evaluated the performance of OECD's Composite Leading Indicator using the Continuous Wavelet Transform. We used various wavelet tools ‐ wavelet coherency, wavelet phase and wavelet phase difference ‐ to assess the co‐movement between the Composite Leading Indicator and three macroeconomic variables ‐ Industrial Production Index, unemployment rate, and real GDP Growth ‐ at each frequency and moment. We also explored the lead–lag relationship between each pair of variables across time and frequency. We concluded that OECD's Composite Leading Indicator is a useful leading indicator of the Industrial Production Index and can be suited for forecasting the unemployment rate. However, it exhibited poor performance regarding GDP growth.
Subject
Economics and Econometrics,Finance,Accounting
Cited by
2 articles.
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