Gyorgy Gyomai OECD Statistics Directorate

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Presentation transcript:

Gyorgy Gyomai OECD Statistics Directorate Standardized Business and Consumer Confidence Indicators and Zone Aggregates Gyorgy Gyomai OECD Statistics Directorate

Outline Building on earlier work Methodology (steps involved) The results Tests and comparisons Future dissemination vehicle (OECD.Stat, unified framework for cyclical indicators)

Building on earlier work Paper presented at the EC – OECD workshop on international development of business and consumer tendency surveys: “Calculation of normalised business and consumer confidence indicators and zone aggregates”. (Olivier Brunet and Ronny Nilsson) Motivation: comparability, zone aggregate calculation, harmonized set of cyclical indicators Comparability: easier country comparison; with smoothing and scaling the CI series can be fit in the cyclical indicator framework;

Building on earlier work (cont.) Data Series used for calculation: Business Confidence Indicators (manufacturing) EC Confidence Indicators (19 + 2 countries) National Confidence Indicators (6 countries) National Indicators proxied by Business Situation series (8 countries) Consumer Confidence Indicators EC Confidence Indicators (19 countries) National Confidence Indicators (12 countries)

Building on earlier work (cont.) Deviations from the previous paper Changes in Zone definitions Asia Major 5 instead of Asia Pacific (China, India, Indonesia, Japan, Korea) Some additional component data Korea, Turkey Indicator compilation without using the PAT de-trending method

Methodology (steps involved) Frequency conversion Q → M Linear interpolation Alignment (1st, 2nd or 3rd month of the quarter) Smoothing MCD method with max 5. month smoothing span Normalization Centring around 100, rescaling (to match the amplitudes of the reference series: IIP)

Turning Point Detection Bry – Boschan algorithm Part of the PAT-detrending implementation Does internal smoothing (Searches peaks in original series, i. e. potentially relocates TPs found in the smoothed series) Simplified Bry – Boschan algorithm Standalone Searches peaks in the input series (Assumes that the input series is already a smooth cyclical indicator)

Zones and Indicators Calculated Zones Compared Indicators Asia Major 5: (China, India, Indonesia, Japan, Korea) G7 Eurozone OECD Total OECD + Non Member Economies: (Brazil, China, India, Indonesia, Russian Federation, South Africa) Compared Indicators Business Confidence Indicator (Manufacturing) Consumer Confidence Indicator OECD CLI Reference Series (Index of Industrial Production)

Turning Points Table – Asia Major 5

Turning Points Table – G7

Turning Points Table – Eurozone

Turning Points Table – OECD + Large Non-Member Economies

Turning Points Table – OECD Total

Cyclical Indicators – Asia, Major 5

Cyclical Indicators – G7

Cyclical Indicators – Eurozone

Cyclical Indicators – OECD

Cyclical Indicators – OECD + NME

Data Dissemination New Subject Table in the MEI publication Data views and download opportunities via OECD.Stat OECD.Stat will contain a cyclical indicators area, where all data related to the analysis of economic cycles will be made available. ( http://stats.oecd.org/wbos/default.aspx )

OECD Statistics via OECD.Stat