A new monthly index of the Texas business cycle
By: Keith R. Phillips.
Series: Research Department working paper ;; 0401; Working paper (Federal Reserve Bank of Dallas. Research Dept. : Online) ;; 0401.
Publisher: Federal Reserve Bank of Dallas
Published: 2004
Place of publication: [Dallas, Tx.]
Language: eng
Format: Electronic resource
Subjects: Business cycles -- Texas.; Economic forecasting -- Texas.
Description: "The timing, length and severity of economic recessions and expansions in a state are important to businesses seeking to set up operations or expand in those areas. Given a limited amount of data at the state level and their sometimes inconsistent movements, it is not straight forward to define a state business cycle. In this article I attempt to measure the Texas business cycle using a technique developed by Stock and Watson (1989,1991) that statistically estimates the underlying comovement in broad indicators of the state's economy. The new Texas Coincident Index (TCI) is constructed with the Texas unemployment rate, a quarterly Real Gross State Product measure due to Berger and Phillips (1995), and a nonfarm employment series that is benchmarked quarterly and is seasonally adjusted using the two-step approach described in Berger and Phillips (1993). Use of these components and the Kalman filter, which smoothes across variables as well as over time, results in an index which is much smoother and gives clearer signals of turning points than the old TCI produced by Phillips (1988). The new TCI exhibits cyclical patterns that are highly correlated with those of employment and RGSP, and matches well with recessions and expansions that were independently identified"--Federal Reserve Bank of Dallas web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/19/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.