Ludovic Cals, Jacques Anas and Gian Luigi Mazzi NTTS 2015 conference - - PowerPoint PPT Presentation

▶
ludovic cal s jacques anas and gian luigi mazzi ntts 2015
SMART_READER_LITE
LIVE PREVIEW

Ludovic Cals, Jacques Anas and Gian Luigi Mazzi NTTS 2015 conference - - PowerPoint PPT Presentation

Jan 05, 2023 944 likes •1.16k views

A new graphical tool for business cycle monitoring Ludovic Cals, Jacques Anas and Gian Luigi Mazzi NTTS 2015 conference - 11 March 2015 - Brussels 1 Eurostat A new Business Cycle Clock The objective of the new Business Cycle Clock is to

slide-1
SLIDE 1

Eurostat

A new graphical tool for business cycle monitoring

Ludovic Calès, Jacques Anas and Gian Luigi Mazzi

NTTS 2015 conference - 11 March 2015 - Brussels 1

slide-2
SLIDE 2

Eurostat

A new Business Cycle Clock

The objective of the new Business Cycle Clock is to represent the cyclical situation on a clock based on the αABβCD approach, see [1]. Each peak and trough is located on a clock and the hand location is given by the cyclical indicators currently produced for Eurostat (GCCI, BCCI, ACCI).

[1] “Detecting cyclical turning points: the ABCD approach and two probabilistic indicators” by Jacques ANAS and Laurent FERRARA, 26th CIRET Conference 2002

2

slide-3
SLIDE 3

Eurostat

The website

The web application is composed of 3 elements:

  • the upper part of the window is dedicated to the

graph representation.

  • the lower left corner of the window is dedicated to

the business cycle clock

  • the lower right corner is used to present cycle

statistics.

3

slide-4
SLIDE 4

Eurostat

Illustration of the website

4

slide-5
SLIDE 5

Eurostat

Remark

It is worth noting that the clock and graph representation are dynamic. A play button makes time running. The current position in the graph representation is highlighted and the clock hand runs.

5

slide-6
SLIDE 6

Eurostat

Cyclical turning points: the extended αABβCD approach

6

  • The

turning point detection issue is considered as a progressive follow-up

  • f

the cyclical movement. Even if no cycle is similar to the previous

  • ne, the sequence of turning

points is always respected in practice.

  • Deceleration (point α) will turn

into a slowdown movement (point A of the growth cycle) and if it is getting worse, the growth rate will become negative (point B), thus determining a recession.

slide-7
SLIDE 7

Eurostat

7

ABCD Approach

Cycle des affaires

.

D

.

.

B

.

C

.

A.

niveau tendance

Cycle de croissance

phase de ralentissement

A.

D

.

phase de récession écart à tendance

Cycle du t aux de croissance

.

.

B

.

C

.

taux de croissance instantané

Business Cycle

level trend

Growth Cycle

deviation to trend

period of slow recession period of recession

Growth Rate Cycle

instantaneous growth rate

B and C are the extrema of the business cycle A and D are the extrema of the growth cycle (also called deviation cycle) α and β are the extrema of the growth rate Cycle (also called acceleration cycle)

slide-8
SLIDE 8

Eurostat

Cyclical Indicators

  • The Growth Cycle Coincident Indicator (GCCI) provides the

probability of a slowdown in the economy. Thus it signals the peaks and troughs of the growth cycle.

  • The Business Cycle Coincident Indicator (BCCI) provides

the probability of a recession. Thus it signals the peaks and troughs of the business cycle.

  • The Acceleration Cycle Coincident Indicator (ACCI)

provides the probability of a deceleration in the growth

  • rate. Thus it signals the peaks and troughs of the growth

rate cycle.

8

slide-9
SLIDE 9

Eurostat

The Clock framework

9

  • Noon is α, peak of the growth

rate cycle

  • 3 pm is A, peak of the growth

cycle

  • 4.30 pm is B, peak of the

business cycle

  • 6 pm is β, trough of the growth

rate cycle

  • 7.30 pm is C, trough of the

business cycle

  • 9 pm is D, trough of the growth

cycle

slide-10
SLIDE 10

Eurostat

Relationship with Cyclical Indicators

10

Using the Growth, Business and Acceleration cycles indicators, we compute the location of the hand, associating each clock sector to values of the indicators. ACCI <0.5 >0.5 BCCI BCCI <0.5 >0.5 <0.5 >0.5 GCCI <0.5 6 1 >0.5 5 4 2 3

slide-11
SLIDE 11

Eurostat

Pure Business Cycle

11

  • In the first quadrant, the growth

rate is still above the trend growth rate

  • In A the growth rate slips below

the trend growth rate

  • In

the second quadrant, the growth rate is below the trend growth rate

  • In B, it becomes negative
  • In β, the growth rate reaches a

minimum

slide-12
SLIDE 12

Eurostat

Pure Growth Cycle

12

slide-13
SLIDE 13

Eurostat

Pure Acceleration Cycle

13

slide-14
SLIDE 14

Eurostat

Euro Area recession exit in June 2013

(following a reacceleration in November 2012) 14

slide-15
SLIDE 15

Eurostat

Historical representation

Beside the Business Cycle Clock, a more didactical representation of the growth cycles is presented. It consists of a graph of the GDP deviations from the trend, where the peaks and troughs of the cycles are highlighted.

15

slide-16
SLIDE 16

Eurostat

Historical representation

  • The slowdown phases are represented in pink.
  • The recession phases are represented in dark pink.
  • Each point of the αABβCD cycle is represented by a

stick.

16

slide-17
SLIDE 17

Eurostat

Comparison among countries

  • The new business cycle clock can also be used to

assess and compare the situations among different countries. For instance, in the following slide, we illustrate the comparison of Germany, France and Italy with the Euro Area.

  • The new business cycle clock aims at representing

up to 4 countries simultaneously.

17

slide-18
SLIDE 18

Eurostat

Cross-country comparison in Dec. 2011

18

slide-19
SLIDE 19

Eurostat

Thank you!

19