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Transcript of 1 Calculation of Normalised Business and Consumer Confidence Indicators and Zone Aggregates Olivier...
1
Calculation of Normalised
Business and Consumer Confidence Indicators
and Zone Aggregates
Olivier Brunet
OECD Statistics Directorate
2
Topics
National indicators for zones Methodology Publication of results Alternative approaches for zones Comparison with World and Euro confidence indicators Conclusions and future work
3
National indicators for zones (Manufacturing)
Zones Confidence Indicator Business Situation
Monthly Quarterly Monthly Quarterly
Major 7 (7) 5 Canada Japan
Euro area (12) 12
OECD Total (29) 23 Canada 5
Major Asia Pacific (7) India
Indonesia
5
Big 6 Non OECD (6) Russia 3 Brazil China
World (35) 24 4 7
4
National indicators for zones (consumer)Zones Monthly Quarterly No indicator
Major 7 (7) 6 Japan
Euro area (12) 12
OECD Total (29) 24 Japan
New Zealand Switzerland
Norway
Turkey
Major Asia
Pacific (7)
Australia, Korea, China
Japan
New Zealand
India
Indonesia
Big 6 Non OECD (6) China
Brazil
South Africa India
Indonesia
Russia
World (35) 26 4 Norway, Turkey, India, Indonesia, Russia
5
Methodology
Periodicity
1. Quarterly data refer to the first month of the quarter
2. Quarterly data refer to second month of the quarter
3. Quarterly data refer to second month of the quarter with 3rd last month extrapolated
4. Quarterly data refer to third month of the quarter
6
Methodology (following)
Smoothing
- MCD (Months for cyclical Dominance)
- QCD (Quarter for Cyclical Dominance)
Standardisation / Normalisation
Substract the mean and then divide by the mean of the absolute values of the differences from the mean.
7
Methodology (following) Weighting (GDP-PPP)
Manufacturing Consumers
Germany 5.0 5.8
India 7.2 -
Japan 8.1 9.4
China 15.3 17.7
United States 25.0 28.9
Euro area 18.5 21.4
Non OECD Big 6 31.5 22.7 (3)
Major Asia Pacific 35.9 31.2
OECD Major 7 51.3 59.4
OECD Total 68.3 77.3
8
Methodology (final)
Aggregation
- 90 % of total weight for Major 7 countries
- 60 % of total weight for other zones:
. OECD total
. Euro area
. Big 6 Non OECD area
. World proxy
9
Publication of results (manufacturing)
Coverage of total
components
Frequency of components
Share of quarterly
components
Starting date
M Q
Euro Area 100.0 12 0 0.0 1985
OECD Major 7 100.0 5 2 25.1 1985
OECD Total 100.0 23 6 25.9 1987
Major Asia Pacific 100.0 0 7 100.0 1997
Big 6 non OECD 100.0 1 5 90.4 1998
World 100.0 24 11 42.7 1998
10
Publication of results (consumers)
Coverage of total
components
Frequency of components
Share of quarterly
components
Starting date
M Q
Euro Area 100.0 12 0 0.0 1987
OECD Major 7 100.0 6 1 19.5 1985
OECD Total 97.1 24 3 15.5 1994
Major Asia Pacific 75.2 3 2 76.9 1995
Big 6 non OECD 62.2 2 1 3.5 1995
World 86.5 26 4 9.9 1994
11
Publication of results (manufacturing)
World Business Confidence: Manufacturing Ratio to Trend
96
97
98
99
100
101
102
Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05
96
97
98
99
100
101
102
World
OECDTotal
Big6NonOECD
12
Publication of results (manufacturing)World Business Confidence: Manufacturing
Ratio to Trend
97
97.5
98
98.5
99
99.5
100
100.5
101
101.5
102
Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05
97
97.5
98
98.5
99
99.5
100
100.5
101
101.5
102
MajorAsiaPacific
World
EuroArea
13
Publication of results (manufacturing)
OECD Business Confidence: Manufacturing Ratio to Trend
95
96
97
98
99
100
101
102
103
104
Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05
94
95
96
97
98
99
100
101
102
103
104
United States
Japan
EuroArea
14
Publication of results (consumers)World Consumer Confidence
Ratio to Trend
97
98
99
100
101
102
103
Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05
97
98
99
100
101
102
103
OECDTotal
EuroArea
World
15
Publication of results (consumers)World Consumer Confidence
Ratio to Trend
96
97
98
99
100
101
102
103
Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05
96
97
98
99
100
101
102
103
MajorAsiaPacific
World
EuroArea
16
Publication of resultsManufacturing and consumers
Business and Consumer Confidence for OECD Major 7 Area Ratio to Trend
97
98
99
100
101
102
103
Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05
97
98
99
100
101
102
103
BusinessOECDMajor7
ConsumerOECDMajor7
17
3 Alternative Approaches
Series name De-trending Normalisation Weigthing
EC EuroAreaEC No No Changing every year
OECD 1 EuroArea
OECDRT
Yes Yes Fixed
OECD 2 EuroArea
OECD
No Yes Fixed
18
Euro Area Industrial Business Confidence: Alternative Calculations Ratio to Trend
96
97
98
99
100
101
102
103
Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05
96
97
98
99
100
101
102
103
EuroAreaEC
EuroAreaOECD
EuroAreaOECDRT
19
Euro Area Consumer Confidence: Alternative Calculations Rati to Trend
96
97
98
99
100
101
102
103
Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05
96
97
98
99
100
101
102
103
EuroAreaEC
EuroAreaOECDRT
EuroAreaOECD
20
Comparison of World and Euro area confidence indicators
Indicator Share of
GDP-PPP
Sector De-trending
Normalisation
Weighting
World WES (90)
95.4 Economy No No Fixed trade weights
Euro WES (12)
100 Economy No No Fixed trade weights
Euro EC
(12)
100 MFG No No Changing yearly GDP-PPP weights
World OECD (35)
83.1 MFG No Yes Fixed GDP-PPP weights
OECD Total (29)
100 MFG No Yes Fixed GDP-PPP weights
Euro OECD (12)
100 MFG No Yes Fixed GDP-PPP weights
21
World Business Confidence IndicatorsWorld Business Confidence Indicators
Ratio tro Trend
97
98
99
100
101
102
103
Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05
97
98
99
100
101
102
103
WorldWES
WorldOECD
OECDTotal
22
Euro area Business Confidence IndicatorsEuro Area Business Confidence Indicators
Ratio to Trend
95
96
97
98
99
100
101
102
103
104
Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05
95
96
97
98
99
100
101
102
103
104
EuroAreaWES
EuroAreaEC
EuroAreaOECD
23
Conclusions
Publication of results:– Business confidence indicators (manufacturing)
(Euro Area, Major 7, OECD Total, OECD Asia Pacific, Big 6 Non EODC, World proxy)– Consumer confidence indicator
(Euro Area, Major 7, OECD Total)
Methodology:– Use of the option de-trending
24
Future work
Calculation of country specific business confidence indicators for Non EU countries
Incorporation of consumer confidence indicator (India, Indonesia, Russia)
Extension of calculation of zone aggregates (NAFTA , Big 4 European, OECD Europe, EU15, OECD Asia, ..)
Calculate regional or zone confidence indicators for other sectors
Use of alternative weights (ex: share of imports and exports)