Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators

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.

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Year of publication:	2006-01
Authors:	Gayer, Christian ; Genet, Julien
Institutions:	Directorate-General Economic and Financial Affairs, European Commission
Subject:	Business cycle \| Confidence indicators \| Factor models \| Principal components \| Business and Consumer Surveys (BCS) \| Gayer \| Genet

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Extent:	application/pdf
Series:	European Economy - Economic Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 240 50 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008595809