Indicateurs avancés et enquêtes de conjoncture

Glossary for OECD Composite Leading Indicators and Business & Consumer Tendency Surveys

 

A: AMPLITUDE ADJUSTMENT
B: BALANCE (also called NET BALANCE)
  BUSINESS CONFIDENCE INDICATOR
  BUSINESS CONFIDENCE INDICATOR standardised
  BUSINESS CYCLE
  BUSINESS SITUATION/ACTIVITY: CURRENT
  BUSINESS SITUATION/ACTIVITY: FUTURE TENDENCY
  BUSINESS SITUATION/ACTIVITY: TENDENCY
  BUSINESS TENDENCY SURVEYS
C: CAPACITY UTILISATION: CURRENT
  CLI
  CLI COMPONENT SERIES
  CONSTRUCTION CONFIDENCE INDICATOR
  CONSUMER CONFIDENCE INDICATOR
  CONSUMER CONFIDENCE INDICATOR standardised
  CONSUMER OPINION SURVEYS
D:

DEMAND: FUTURE TENDENCY

  DEMAND: TENDENDCY
  DETRENDING
  DIFFUSION INDEX
E: EMPLOYMENT: FUTURE TENDENCY
 

EMPLOYMENT: TENDENCY

  EXPORT ORDER BOOKS: LEVEL
M: MCD
N: NET BALANCE
  NORMALISATION
O: OECD TARGET INDICATORS
  ORDER BOOKS: LEVELS
  ORDERS INFLOWS TENDENCY
P: PERIODICITY & TIMING
  PRODUCTION: FUTURE TENDENCY
 

PRODUCTION: TENDENCY

Q: QUALITATIVE DATA
  QUANTITATIVE DATA
R: REFERENCE SERIES
  RETAIL CONFIDENCE INDICATOR
S: SEASONAL ADJUSTMENT
  SELLING PRICES: FUTURE TENDENCY
  SERVICES CONFIDENCE INDICATOR
  SMOOTHING
  STOCK OF FINISHED GOOD: LEVEL
T: TREND
 

TREND-RESTORED CLI

  TURNING POINT
W: WEIGHTING
Y: YEAR-ON-YEAR GROWTH RATES (YoY)
Z: ZONE

 

A

AMPLITUDE ADJUSTMENT
The CLI is adjusted to ensure that its cyclical amplitude on average agrees with that of de-trended reference series.

 

B

BALANCE (also called NET BALANCE)
Balances (B, also called Net Balance, NB) are commonly used unit of measure in Business Tendency (BTS) and Consumer Opinion Surveys (COS). They are used to summarise answers to multiple-choice (3 to + reply options) questions in the BTS and COS. If respondents have three options, i.e. up, same and down or above normal, normal, below normal, it is conventionally denoted the up/above normal by (+), the same/normal by (=) and the down/below normal by (-). In 4+ reply options, which are typical of COS, respondents can choose among the following options – much better, better, same, worse and much worse with weights assigned as follows: 1, 0.5, 0, -0.5, -1.  As "no-change" answers (such as normal or same) are ignored, the balance is obtained by taking the difference between the weighted percentages of respondents giving favourable (+) answers versus unfavourable (-) answers. Balances can take values from -100 to +100, with a midpoint of 0.

 

BUSINESS CONFIDENCE INDICATOR
The Business Confidence Indicator (BCI), sometimes also called Industrial Confidence Indicator, corresponds to the arithmetic average of seasonally adjusted net balances of production future tendency, order books levels and stocks of finished goods (inverted sign) in the manufacturing sector. The definition complies with the EC and OECD guidelines.

Coverage
The OECD publishes BCIs for all OECD countries apart from Iceland for which no survey is conducted. For the BRIICS, we have a full coverage. Data for Colombia are also available.

Frequency
Most of time series are available at a monthly frequency apart from the following countries for which data are quarterly:

  • OECD: Australia, Canada, Japan, New Zealand, Norway
  • Non-OECD: India, Indonesia, South Africa

Target definition
For two OECD countries, Japan and New Zealand, the business situation indicator (current and future respectively) has been used as a proxy for the BCI.

For Australia, India, Indonesia, Korea, Russian Federation, Turkey and Switzerland the BCI is computed in-house following the EC guidelines. In the case of Korea, orders inflows tendency has been used instead of order books levels.

For China and USA the indicators used correspond to the PMI, which are normally expressed as diffusion indices. The OECD converts the indices into balances to allow cross-country comparability.
All indicators are expressed as seasonally adjusted balances except for Mexico, which figures correspond to an index (base 1998).

 

BUSINESS CONFIDENCE INDICATOR standardised
The OECD standardised Business Confidence Indicators are confidence indicators comparable across countries and across business cycle indicators.

Across countries
The OECD Standardised Business Confidence Indicators provide a comparable dataset across countries as they are based upon common definitions of confidence indicators computed at country level, in line with the Joint Harmonised EU programme of Business & Consumer Surveys. In case of missing BCIs at national level suitable proxy (i.e. business situation for Japan and New Zealand) can be used.

Across business cycle indicators
The standardisation process is accomplished across business cycle indicators so to be able to compare the standardised indicators with the OECD Composite Leading Indicators and the de-trended indices of GDP. See the OECD Business Cycle Clock for a cross-country comparison of these indicators.

Interpretability
The OECD fixed to 100 the mean of the OECD Standardised BCIs. Therefore 100 represents the long term average, or normal situation, as it is not attached to a specific base year. In general, a standardised BCI over 100 signals an increased confidence of business owners towards their own activity (i.e., an increase on the expected production of the company as well on the level of order books) indicating an injection of optimism triggered by their business performance; conversely, a BCI below 100 indicates a pessimistic view on the performance of their business activity (i.e., less production and orders, more finished goods, signalling a decrease in confidence. For more information on the standardisation methodology of the BCI, click here.

 

BUSINESS CYCLE
Business cycles are recurrent sequences of alternating phases of expansion and contraction in economic activity. The name 'business cycle' has some ambiguity, since it can refer to conceptually different economic fluctuation. Whenever the context does not eliminate ambiguity, the following qualifiers are used to distinguish the different concepts. The 'classical cycle' refers to fluctuations in the level of the economic activity (i.e. measured by GDP), the 'growth cycle', also known as the ‘deviation cycle’, refers to fluctuations in the economic activity around the long-run potential level, or fluctuations in the output-gap (i.e. measured by the de-trended GDP) and finally the 'growth rate cycle' refers to fluctuations of the growth rate of economic activity (i.e. GDP growth rate). The OECD CLI is focusing on the 'growth cycle' concept with the amplitude adjusted CLI, but offers translations for the two other concepts with the trend restored CLI for classical cycles and the CLI 12-month rate of change (alternatively year-on-year growth rate) for the growth rate cycle.

 

BUSINESS SITUATION/ACTIVITY: CURRENT
In the OECD harmonised questionnaire the question is asked in the manufacturing sector and formulated as follows - “Excluding normal seasonal changes, do you consider your current business situation/activity to be..? [(1) good, (2) satisfactory, (3) bad])”. The measure used for this indicator is a balance (difference between positive and negative answers in % points of total answers) and the question is usually asked in the monthly questionnaire.

 

BUSINESS SITUATION/ACTIVITY: FUTURE TENDENCY
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, how do you expect your business situation/activity to change over the next 3 months1? [It will (1) increase, (2) unchange, (3) decrease]”. This question is asked in the manufacturing and retail trade (where business activity corresponds to sales) sectors.  The measure used for this indicator is a balance (difference between positive and negative answers in % points of total answers) and the question is usually asked in the monthly questionnaire.

 

BUSINESS SITUATION/ACTIVITY: TENDENCY
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, how has your company’s business situation/ activity changed over the past 3-4 months? [It has (1) increased, (2) unchanged, (3) decreased]”. This question is asked in the retail trade, services and construction sectors. The measure used for this indicator is a balance (difference between positive and negative answers in % points of total answers) and the question is usually asked in the monthly questionnaire.

 

BUSINESS TENDENCY SURVEYS
Business Tendency Surveys (BTS) are carried out to obtain qualitative information for use in monitoring the current business situation and forecasting short-term developments.

Business tendency surveys collect information about a wide range of variables selected for their ability, when analysed together, to provide an overall picture of a sector economy. Some of the commonly collected information in business surveys relates to production, order books, new orders, stock of finished goods, exports, employment and prices.

The information collected in BTS is described as qualitative because respondents are asked to assign qualities, rather than quantities, to the variables of interest. For example, respondents might be asked to assign qualities to the value of their order books such as "higher than normal", "normal" or "below normal" instead of providing the actual figure.


The advantage is that it is generally much easier for respondents to give qualitative information because it does not require the consultation of accounting records. As a consequence, the questionnaires can be completed quickly and survey results can be published much sooner than results of traditional statistical surveys.

In terms of subject coverage, the range of information covered by BTS goes beyond the information normally captured in conventional statistics. In this sense, qualitative information may be collected for variables that are difficult or impossible to measure by conventional methods. Examples include:

  • capacity utilisation; 
  • production bottlenecks; 
  • plans and expectations for the immediate future; 
  • manager's views on the overall economic situation.

Detailed guidelines for the development of questionnaires used for the collection of data from businesses using harmonised questions and recommended survey design practices are outlined in the OECD publication, Business Tendency Surveys: A Handbook, published in 2003. The list of variables included in the OECD harmonisation system can be found here.

 

C

CAPACITY UTILISATION: CURRENT
In the OECD harmonised questionnaire the question is asked in the manufacturing sector and is formulated as follows - “At what capacity is your company currently operating (as a % of full capacity)? [Please provide a %]”. The measure used for this indicator is a seasonally adjusted percentage of the full capacity, and the question is usually asked in quarterly questionnaires.

 

CLI
The OECD Composite Leading Indicator (CLI) is an aggregate time series displaying a reasonably consistent leading relationship with the reference series for the business cycle in a country (GDP). The CLI is constructed by aggregating together component series selected according to multiple criteria, such as: economic significance, cyclical correspondence and data quality. As a result of the multi-criteria selection process the OECD CLI can be used to give an early indication of turning points in the reference series although it may not be suitable for quantitative forecasts (see OECD System of CLIs).

 

CLI COMPONENT SERIES
CLI component series are economic time series which exhibit leading relationship with a reference series at the turning points. The component series are selected from a wide range of economic sectors. The number of series used for the compilation of the OECD CLIs varies from one country to another, typically ranging from 5 to 10 series. Selection of the appropriate series for each country is made according to the following criteria:

Economic significance, an a priori economic reason for a leading relationship with the reference series must exists;

Cyclical behaviour, as cycles should lead those of the reference series, with no missing or, if possible, extra cycles; and

Lead at turning points, which should be homogeneous over the whole period;

From the data quality prospective: 

  • Statistical coverage of the series should be broad;
  • Series should be compiled on a monthly rather than a quarterly basis;
  • Series should be timely and easily available;
  • There should be no break in the time series; and
  • Series should not be revised frequently. 

OECD component series can be found here.

 

CONSTRUCTION CONFIDENCE INDICATOR
The index corresponds to the arithmetic average of seasonally adjusted net balances of total orders books level and employment future tendency in the construction sector. The definition complies with the EC and OECD guidelines and all indicators are expressed as seasonally adjusted balances.

Coverage
The OECD publishes Construction CIs for all OECD countries apart from the following countries: Australia, Canada, Ireland, Iceland, Israel, Japan, Korea, Mexico, New Zealand, Norway, Turkey and United States. For the BRIICS, Construction CIs are available for Brazil, Indonesia, Russian Federation and South Africa. Data for Colombia are also available.

Frequency
Most of time series are available at a monthly frequency apart from Indonesia, Russian Federation, South Africa and Colombia for which they are quarterly.

Target definition
All confidence indicators are computed by source apart from Colombia which is calculated in-house following the EC guidelines.

 

CONSUMER CONFIDENCE INDICATOR
The Consumer Confidence Indicator (CCI) is based on the arithmetic average of answers to the following four questions collected in the Consumer Opinion Surveys: 

  1. Expected change in financial situation of household over the next 12 months;
  2. Expected change in general economic situation over the next 12 months;
  3. Expected change in unemployment over the next 12 months;
  4. Expected change in savings of household over the next 12 months. 

Each question has five possible answers: a lot better, a little better, the same, a little worse, a lot worse. The CCI is expressed as a seasonally adjusted net balance of positive over negative results. As published by the EC, it is constructed with double weights on the extremes [“a lot better” and “a lot worse” with a weight =equal to 1, “a little better” and “ a little worse” with a weight= equal to 0.5, and “the same” with a weight= equal to 0] and usually has a monthly frequency. See the EC guidelines to learn more about it.

Coverage
The OECD currently publishes CCIs for all OECD countries apart from Chile, Iceland and Norway for which data are not available.

Frequency
Frequency is normally monthly apart from New Zealand and Switzerland which are quarterly. For the BRIICS, the CCI is published on a monthly basis for Brazil, China and Indonesia; at quarterly frequency it is available for the Russian Federation and South Africa. The measure for all series is the seasonally adjusted balance, with the exception of Canada, Mexico and USA2 for which only indices are provided. For New Zealand and China the index corresponds to a 100 = normal.

Target definition
All confidence indicators are computed by source and are in line with the EC guidelines.

 

CONSUMER CONFIDENCE INDICATOR Standardised
The OECD standardised Consumer Confidence Indicators are confidence indicators comparable across countries and across business cycle indicators.

Across countries
The OECD Standardised Consumer Confidence Indicators provide a comparable dataset across countries as they are based upon common definitions of confidence indicators computed at country level, in line with the Joint Harmonised EU programme of Business & Consumer Surveys.

Across business cycle indicators
The standardisation process is accomplished across business cycle indicators so to be able to compare the standardised indicators with the OECD Composite Leading Indicators and the de-trended indices of GDP. See the OECD Business Cycle Clock for a cross-country comparison of these indicators.

Interpretability
The OECD has decided to fix to 100 the mean of the OECD Standardised BCIs. Therefore 100 represents the long term average, or normal situation, as it is not attached to a specific base year. In general, a standardised CCI above 100 indicates a boost in the consumers’ confidence towards the economy suggesting an healthier economy (i.e., positive changes to the general economic situation, decrease of the unemployment rate) combined with an improvement on the financial households conditions of the next 12 months (i.e., less likelihood to save, propensity to spend money on major purchases), whereas a value below 100 may signal a more pessimistic attitude towards the economy, expressing a tendency of saving more which may translate into a contraction in the confidence.

For more information on the standardisation methodology of the CCI, click here


CONSUMER OPINION SURVEYS
Consumer Opinion Surveys (COS) are carried out to obtain qualitative information for use in monitoring the current economic situation. They provide information on consumer sentiment based on both the general economic situation and the financial situation of the individual or family (household). The information collected in COS is described as qualitative because respondents are asked to assign qualities (opinions), rather than quantities, to the variables of interest.

Typically, COS are based on a sample of households and respondents are asked about their intentions regarding major purchases, their economic situation now compared with the recent past and their expectations for the immediate future. The OECD includes the following three harmonised European indicators:

  1. Consumer confidence indicator
  2. Consumer prices: future tendency
  3. General economic situation: future tendency 

 

D

DEMAND: FUTURE TENDENCY
In the OECD harmonised questionnaire the question asked is Excluding normal seasonal changes,How do you expect the demand for your company to change over the next 3-4 months? [It will (1) increase, (2) unchange, (3) decrease]”. This question is asked in the services sector and in the retail trade (orders placed with suppliers). The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.

 

DEMAND: TENDENCY4
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, how has demand for your company changed over the past 3-4 months? [It has (1) increased, (2) unchanged, (3) decreased]”.  This question is asked in the manufacturing sector as a level (for export order books) and in the services sector as a tendency. The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly. 

 

DETRENDING
Detrending is a procedure in which the long term trend, that may obscure cyclical variations in the component or the reference series, is removed. Up to December 2008 component series were detrended with the Phase Average Trend (PAT) method. Starting from December 2008 the OECD has decided to replace the combined PAT/MCD approach with the Hodrick-Prescott (HP) filter to perform detrending and smoothing in a single operation. The HP-filter is operated as a band-pass filter with frequency cut-off at 12 months for high frequency components (smoothing) and with frequency cut-off at 120 months for low frequency components (detrending).

 

DIFFUSION INDEX
A diffusion index (DI) provides a summary of answers to multiple-choice questions in the BTS. It is defined as the fraction of favourable (+) answers plus half of the fraction of no change (=) answers. Diffusion Indices are alternatives to Balances as a way of summarising answers to multiple-choice questions [hence DI= (100+B)/2]. Diffusion indices can take values from 0 to +100, with a midpoint of 50. They move in the same fashion as balances, although diffusion indices are flatter than balances when represented in graphs because their range is narrower than in balances.

 

EMPLOYMENT: FUTURE TENDENCY
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, how do you expect your firm's total employment to change over the next 3-4 months? [It will (1) increase, (2) unchange, (3) decrease)]”. This question is asked in the manufacturing, construction, services and retail trade sectors. The measure used for this indicator is a balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.


EMPLOYMENT: TENDENCY
In the  OECD harmonised questionnaire the question asked is "Excluding normal seasonal changes, how has your firm's total employment changed over the past 3-4 months? [It has (1) increased, (2) unchanged, (3) decreased)]". The measure used for this indicator is a balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.

 

EXPORT ORDER BOOKS: LEVEL
In the OECD harmonised questionnaire the question is asked in the manufacturing sector and is formulated as follows - "Do you consider your current level of export order books to be..? [(1) Above normal, (2) normal, (3) below normal]". The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.

 

MCD
MCD represents months for cyclical dominance. Percentage changes of the irregular and cyclical factors are computed for consecutive months (January-February-March, etc.), two-month spans (January-March, February-April, etc.), three-month spans (January-April, February-May, etc.), and so on. MCD is the first interval of months for which the average (without regard to sign) percentage change of the irregular factor (I) is less than that of the cyclical factor (C) and remains so. I/C is a measure of the relative smoothness (or irregularity) of the seasonally adjusted series”. Please refer to the NBER chapter on Measures of the cyclical behaviour of selected business cycle series to learn more about this.

 

N

NET BALANCE
See definition for Balance

 

NORMALISATION
This transformation of the de-trended component series is required prior to aggregation into CLI in order to express the cyclical movements in a comparable form, on a common scale. The method used to calculate normalised indices is to subtract the mean from the observed value and then to divide the resulting difference by the mean absolute deviation. Finally the series is relocated to have a mean equal to 100.

 

O

OECD TARGET INDICATORS
The list of OECD target indicators can be found at this link. The choice of these indicators is based upon a careful selection of time series that would allow analysts to readily conduct short-term forecasts. The target list assumes also a relevant role in the shaping of new countries data collection willing to meet international benchmarking requirements as it is used in the review process for new accession countries. The consensus upon which key indicator to include in the data collection has been reached by keeping the following three criteria in mind:

  1. Indicators must add valuable information for economic analysis
  2. Indicators must have a satisfying and internationally relevant cross-country coverage, and
  3. Indicators must be internationally comparable

For each sector, questions differ in the form (level or change) and in the time horizon (evaluation, assessment or expectation).
Exceptions apply to questions about capacity utilisation as answers are expressed in per cent of the rate of (full) utilisation and on questions on factors limiting production, which normally require only a yes/ no answer.


In the change form, the time horizon of questions is typically of 3-4 months (or one quarter, depending on the periodicity of the survey), and can refer to past versus present changes (evaluation) or to present versus future changes (expectation). Exceptions apply for Australia, Chile, Mexico, Switzerland, Brazil and Indonesia for which questions on future business situation cover the next 6 months, instead of the usual 3 month horizon.


For questions in the level form the time horizon normally refers to the present although some departures apply for Australia and Norway (past three months), Israel and United States (past month) and New Zealand (next three months).


Depending on the form, the measurement scale can be expressed on a three-option ordinal scale such as:

  • Up/same/down (for questions in change form)
  • Above normal/normal/below normal (for questions in level form)

 

ORDER BOOKS: LEVEL3
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, do you consider your current overall order books to be..? [(1) Above normal, (2) normal, (3) below normal]”. This question is asked in the manufacturing and the Construction sectors. The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.

 


ORDERS INFLOWS TENDENCY
In the OECD harmonised questionnaire the question is asked in the manufacturing sector and formulated as follows - “How have your company’s new orders changed over the past 3- 4 months? [It has (1) increased, (2) unchanged, (3) decreased]”. The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked quarterly.

 

P

PERIODICITY & TIMING
Surveys should be carried out monthly with the possibility to include a few additional questions every quarter or half-year. On a quarterly frequency, the questionnaires should be carried out in January, April, July and October. Regardless of their periodicity, all surveys should follow this timing:

  • Questionnaires should reach respondents no later than the 25th of the month t (where t is the month for which information is detected);
  • Respondents should send back completed questionnaires no later than the 10th of the month t+1, and
  • Results should be published no later than the end of the month t+1.

 

PRODUCTION: FUTURE TENDENCY
In the OECD harmonised questionnaire the question is asked in the manufacturing sector and is formulated as follows “Excluding normal seasonal changes, how do you expect your company’s production to change over the next 3 months? [It will (1) increase, (2) unchange, (3) decrease]”. The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.

 

PRODUCTION: TENDENCY
In the OECD harmonised questionnaire the question is asked in the manufacturing sector and is formulated as follows, “Excluding normal seasonal changes, how has the production for your company changed over the past 3-4 months? [It has (1) increased, (2) unchanged, (3) decreased]”. The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers) and the question is usually asked monthly.

 

Q

QUALITATIVE DATA
The data collected in BTS and COS are qualitative data since the respondents are required to assign qualities to the items of interest instead of quantities. For example, they may be asked to say whether the order books are "higher", "lower" or "same" compared with the previous period.

Qualitative data obtained in business tendency and consumer opinion surveys are also described as "categorical" because respondents are required to choose between two or more response categories, such as "better", "same", "worse".


QUANTITATIVE DATA
The data collected in most statistical surveys are quantitative in contrast to the qualitative data collected in business tendency and consumer opinion surveys, the data collected in most statistical surveys are quantitative. Quantitative data are expressed in numbers, tons, litres, amounts of expenditures, etc.

 

REFERENCE SERIES
Cyclical indicator systems are constructed around a reference series. The reference series is the economic variable whose cyclical movements the CLI intends to predict. Up until April 2012, the Index of total Industrial Production was used as the reference series. Starting from April 2012 Gross Domestic Product (GDP) is used as the reference series except for China  for which we use the value added of industry at 1995 constant prices expressed in 100 million Yuan.

 

RETAIL CONFIDENCE INDICATOR
The Retail Confidence Indicator corresponds to the arithmetic average of seasonally adjusted net balances of business situation tendency, business situation future tendency and stocks (inverted sign) in the retail sector. The definition complies with the EC and OECD guidelines.

Coverage
Among the OECD countries, data are missing for: Australia, Canada, Ireland, Iceland, Israel, Korea, Luxembourg, Mexico, New Zealand, Norway, Turkey and United States. For the BRIICS, data are missing for China and India. Data for Colombia are available.

Frequency
Most of time series are available at a monthly frequency apart from Indonesia, Japan, Russian Federation, South Africa and Switzerland for which data are quarterly.

Target definitions
CIs are provided directly by the country apart for Japan, South Africa and Switzerland for which are computed in-house following the EC guidelines.

 

S

SEASONAL ADJUSTMENT
The seasonal component in time series corresponds to the regular movements observed in quarterly and monthly time series during a twelve-month period. Examples of these include increases in retail sales data during the Christmas period or the fall in industrial activity during vacation periods. In addition to the effect of seasonal influences, a second type of variation which is also linked to the calendar can be observed. This is the trading day effect. For “flow” data (i.e. data calculated by adding daily figures) the trading day effect arises because of the varying number of such days in a month. For example, a monthly time series of retail sales would be affected by the number of Saturdays in each month. In the case of “stock” data referring to a particular period in the month (for instance the last working day) the calendar effect corresponds to the importance of the day of the week when data are measured. Presenting a time series from which the seasonal movements have been eliminated allows the comparison of data between two months or quarters for which the seasonal pattern is different

In many industries, managers are aware of the seasonal patterns affecting their business production, sales, stock levels, etc. It is therefore important to tell the respondents whether or not they should take it into account in their answers. This information can be given as part of the general instructions that will accompany the questionnaire, but common practice is to repeat the instruction in all questions where seasonality is likely to be important. As a good practice, questions will then start with a phrase such as “Ignoring seasonal factors, are stocks of finished goods…?” or “Excluding seasonal variations, are sales…?” However, experience in handling BTS data shows that this tends to reduce seasonality but does not eliminate it entirely. See Guidetti et al for a study on the need of correcting BTS series for seasonality.

As a general rule, the OECD checks each time series for seasonality, and, where a seasonal variation is found, it removes it by using a filter-based approach (X-13 ARIMA). The procedure is run using JDemetra+ v2.0, a software officially recommended to members of the ESS and the European System of Central Banks as the reference software for seasonal and calendar adjustment of official statistics.

 

SELLING PRICES: FUTURE TENDENCY
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, how do you expect your selling prices to change over the next 3- 4 months? [It will (1) increase, (2) unchange, (3) decrease]”. The question is included in both the manufacturing and the construction sector. The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers), Frequency is normally monthly apart from Australia, Canada, India, Japan, New Zealand, Norway, South Africa, Switzerland (in the manufacturing sector) and Japan and Russian Federation (in the construction sector) for which it is quarterly.

 


SERVICES CONFIDENCE INDICATOR
The Service Confidence Indicator corresponds to the arithmetic average of seasonally adjusted net balances of business situation tendency, demand tendency and demand future tendency in the Services sector. The definition complies with the EC and OECD guidelines.

Coverage
Among the OECD countries, data are missing for: Australia, Canada, Chile, Iceland, Israel, Japan, Korea, Luxembourg, Mexico, New Zealand, Norway, Switzerland, Turkey and United States. For the BRIICS, data are missing for China, India, Russian Federation and South Africa.

Frequency
All time series apart from Indonesia are available at a monthly frequency.

Target definitions
All CIs are directly compiled by source following the EC guidelines.

 

SMOOTHING
Smoothing eliminates the noise from the series, and makes the cyclical signal clearer. Up to December 2008 component series were smoothed according to their MCD (Months for Cyclical Dominance) values to reduce irregularity.

Starting from December 2008 onwards the OECD has decided to replace the combined PAT/MCD approach with the Hodrick-Prescott (HP) filter to perform the de-trending and smoothing step in a single operation. The HP-filter is operated as a band-pass filter with frequency cut-off at 12 months for high frequency components (smoothing) and with frequency cut-off at 120 months for low frequency components (de-trending).

 

STOCK OF FINISHED GOODS: LEVELS
In the OECD harmonised questionnaire the question asked is “Excluding normal seasonal changes, do you consider your current firm's stock of finished products to be..? [(1) Above normal, (2) normal, (3) below normal]”. The question is included in both the manufacturing and the retail trade sector (as volume of stocks). The measure used for this indicator is a seasonally adjusted balance (difference between positive and negative answers in % points of total answers).  The frequency is normally monthly apart for Australia, India, Indonesia and Norway (in the manufacturing sector) and Japan, Russian Federation, South Africa and Switzerland (in retail trade) for which it is quarterly.

 

T

TREND
In time series analysis, a given time series can be decomposed into:

  • C, a cyclical component,
  • T, a trend component,
  • S, a seasonal component, and
  • I, an irregular component. 

Since December 2008 the OECD uses the Hodrick-Prescott (HP) filter to estimate the trend. Up to December 2008 the method of trend estimation adopted by the OECD was a modified version of the phase-average trend (PAT) method developed by the United States NBER.

 

TREND-RESTORED CLI
The trend restored CLI is composed of the trend of the reference series and the amplitude adjusted CLI. It is comparable with the original reference series.

 

TURNING POINTS
A turning point occurs in a series when the deviation-from-trend series reached a local maximum (Peak) or a local minimum (Trough). Growth cycle peaks (end of expansion) occur when activity is furthest above its trend level. Growth cycle troughs (end of contraction/recession) occur when activity is furthest below its trend level. In addition, turning points should respect various censoring rules. In the simplified Bry-Boschan procedure, used in the OECD CLI system for turning point identification, these censor rules guarantee the alternation of peaks and troughs, while ensuring that phases last not less than 9 months and and cycles last not less than 2 years. OECD CLI reference turning points can be found here.

 

W

WEIGHTING
GDP share on a Purchasing Power Parity basis (GDP-PPP) weights are used to estimate the CLIs and Confidence Indicators for countries, zones such as OECD total, G7, OECD-Europe, Major 5 Asian countries and the OECD plus major six non-member countries. Weights are taken from the IMF World Economic Outlook database4  and are updated twice a year, in October and April.  To access to the latest weights for aggregating zones please see the following documents:

 

Y

YEAR-ON-YEAR (YoY) GROWTH RATES
Alternatively called the '12-month rate of change', this rate is calculated by dividing the figure for a given period t (a month or a quarter in relation to the frequency of the data) by the value of the corresponding period in the previous year. Let R(t) and C(t) be respectively the Year-on-Year growth rate and the CLI at t is:

  • For monthly data: R(t)={[C(t)/C(t-12)]-1}*100
  • For quarterly data: R(t)={[C(t)/C(t-4)]-1}*100

 

Z

ZONE

The OECD computes zones for both confidence indicators (business and consumer) for the following main country groupings:

  • OECD total, all OECD countries
  • OECD Europe, all European countries that are members of the OECD
  • G7, the major seven economies: United States, Canada, Japan, France, Italy, Germany and United Kingdom
  • Major 5 Asian countries: China, India, Indonesia, Japan and Korea.
  • OECD plus major six non-member countries, OECD plus BRIICS

The European Commission then provides data for the Euro area, i.e. all European Union member states in the euro area. More detailed information is available in the CLI zone aggregation methodology document. A detailed list of zones and their country composition is available on the OECD website.

 

 

Related documents

 

  

  


Notes

1. For some countries, the time horizon may differ (i.e.1 or 6 months). See country metadata for departures.

2. The index corresponds to the Index of Consumer Sentiment. Detailed information on its calculation can be found here http://www.sca.isr.umich.edu/fetchdoc.php?docid=24770

3. This question is asked in the Manufacturing and the Construction sectors.

4. For practical reasons, we take weights from the IMF because of a wider country coverage than the OECD.

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