April 2011
OECD Composite Leading Indicators
Chile
The reference series
The reference series used for constructing OECD Composite Leading Indicator (CLI) for Chile is the index of production in total manufacturing, which is a proxy for the monthly index of industrial production (IIP). The IIP series starts in 1991, it is timely (t-2, able to meet the MEI publication deadline) and accessible from the MEI database. Furthermore, the IIP series is seasonally adjusted with the X12 method and has year 2005 as a base year.
Growth cycles in Industrial production
* For additional information on the de-trending method please refer to the OECD CLI methodological note.
Over the period 1991 - 2010, industrial production registered four growth cycles measured from peak to peak. The length of the cycles varies, as the duration of the shortest cycle was 26 months, while the longest cycle from 2000 to 2005 lasted for 69 months. The average duration of the cycles is 46 months with an average duration of the expansion phase of 28 months and an average duration of the contraction phase of 18 months.
The Composite Leading Indicator
The table below presents the turning point dates of the CLI and the reference series:
Sep-92
Sep-94
Nov-97
Jan-00
Oct-05
Dec-01
Mar-99
Feb-08
May-09
Aug-06
96
98
100
102
104
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011
Growth cycles in Industrial production (IIP)(percentage deviation from trend*, seasonally adjusted)
April 2011
OECD Composite Leading Indicators
The CLI performs well in predicting the turning points of the reference series since it is calculated (i.e. 1990). While the CLI for Chile only misses one and flags one extra turning points, it has a mean lead of 7 months with a standard deviation of 4 months and a median lead of 6 months. The general fit of the CLI with the reference series measured by the peak-correlation coefficient (0.8) is also considered to be good.
Shaded areas represent observed growth cycle downswings (measured from peak to trough) in the reference series, the industrial production.
The components of the composite leading indicator The CLI for Chile contains six monthly leading indicators, including two tendency surveys, two financial indicators and one indicator each from the domain of production and international trade.
Turning point dates
as predicted by CLI
Turning point
dates in IIP
Lead
(months)
Peak 1992 - 09
Trough 1994 - 09
Peak 1997 - 06 1997 - 11 5
Trough 1998 - 09 1999 - 03 6
Peak 1999 - 12 2000 - 01 1
Trough 2001 - 12 Missed
Trough 2002 - 07 Extra
Peak 2004 - 10 2005 - 10 12
Trough 2005 - 07 2006 - 08 13
Peak 2007 - 04 2008 - 02 10
Trough 2008 - 12 2009 - 05 5
94
96
98
100
102
104
106
1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in the CLI and Industrial production (IIP)(percentage deviation from trend, seasonally adjusted)
IIP CLI
April 2011
OECD Composite Leading Indicators
The two business tendency surveys are, Retail trade confidence indicator and Manufacturing production tendency. Although both of these series are relatively short, as they are only available from 2003, they have excellent leading properties with no missing or extra turning points, low standard deviation from the mean lead time and strong cross correlation with respect to IIP. The two financial indicators incorporated in the CLI are Monetary aggregate: M1 and Share price index. Whereas Monetary aggregate: M1 has a relatively short lead, it does not miss or flag any extra turning points, and it has strong cyclical conformity with IIP measured by the peak value of the cross correlation function and the standard deviation from the mean lead time. Although Share price index misses 4 and finds 2 extra turning points out of the 10 targeted, it has a stable lead time with high peak cross correlation value. The real indicator, Production of copper, is included in the CLI for Chile, since it improves the overall performance of the CLI with its strong lead over IIP. Moreover, production of copper is one of the most significant element of the Chiliean industrial sector, and copper is one of the main export goods of the country. The external indicator of Net trade (export - import) is a suitable component indicator as it only misses one and flags one extra turning point, while it has a strong and steady lead over IIP.
Targeted Missed Extra Lead (+) Coef.
Composite
Leading Indicator1996 t-2 8 1 1 7 4 6 6 0.8
Retail trade -
Confidence
indicator
2003 t-2 4 0 0 6 3 6 8 0.7
Manufacturing -
Production:
tendency
2003 t-2 4 0 0 4 2 4 9 0.7
Monetary
aggregate M11986 t-1 10 0 0 3 4 2 3 0.8
Share price
index1990 t-1 10 4 2 4 3 4 7 0.7
Production of
copper1990 t-2 10 3 2 8 6 10 10 0.2
Net trade (f.o.b. -
c.i.f .)1996 t-2 8 1 1 12 5 14 10 0.6
Cross correlationSt. Dev.Indicator
Median
Lead (+)
Starting
dateTimeliness
Turning points Mean
Lead (+)
April 2011
OECD Composite Leading Indicators
Estonia
The reference series
The reference series used for constructing OECD composite leading indicators (CLI) for Estonia is the monthly index of industrial production (IIP) excluding construction. The IIP series starts in 1994, it is timely (t-2, able to meet the MEI publication deadline) and accessible from the MEI database. Furthermore, the IIP series is seasonally adjusted by Eurostat and has year 2005 as a base year.
Growth cycles in Industrial production
* For additional information on the de-trending method please refer to the OECD CLI methodological note.
Industrial production registered three growth cycles measured from trough to trough over the period 1994-2010. The length of the first two cycles was a duration of 36 and 39 months respectively. The third cycle is longer with a duration of 84 months. The average duration of a cycle is 53 months with an average duration of the expansion phase of 38 months and an average duration in the contraction phase of 15 months.
The Composite Leading Indicator
The table below presents the turning points dates of the CLI and the reference series:
1996-05
1998-02
1999-04
2001-01
2002-06
2008-04
2009-05
94
96
98
100
102
104
1994 1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in Industrial production (IIP) (percentage deviation from trend*, seasonally adjusted)
IIP TP_Date
April 2011
OECD Composite Leading Indicators
Turning point dates as
predicted by CLI
Turning point dates in IIP
Lead (months)
trough May-96 missed
peak Sep-97 Feb-98 5
trough Aug-98 Apr-99 8
peak Apr-00 Jan-01 9
trough Oct-01 Jun-02 8
peak Oct-02 extra
trough Jul-04 extra
peak May-07 Apr-08 11
trough Feb-09 May-09 3
The CLI seems to be appropriate for predicting the turning points of the reference series since 1996, date from which it is calculated. While there is a mean lead of 7 months and with a standard deviation of 2.6 months, the general fit of the CLI with the reference series, measured by the peak-correlation coefficient (0.84), is also really good. The CLI did not miss any turning points but have two extra turning points.
Shaded areas represent observed growth cycle downswings (measured from peak to trough) in the reference series , the industrial production.
94
96
98
100
102
104
1994 1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in CLI and Industrial production (IIP) (percentage deviation from trend, seasonally adjusted)
IIP CLI
April 2011
OECD Composite Leading Indicators
The components of the composite leading indicator
Six leading indicators are used to calculate the CLI for Estonia, of which two are financial indicators, one monitors business surveys, one refers to external relations and finally two are representing real indicators. All series are monthly. Three series are showing a lead greater or equal to 8 months at all turning points according to the mean measure. Even if retail sales component shows a lag, it increases the performance of the CLI itself in decreasing its standard deviation and increasing the correlation at peak.
Indicator Starting
date Timeliness
Turning points Mean Lead (+)
St. Dev. Median Lead (+)
Cross correlation
Targeted Missed Extra Lead (+) Coef.
Composite Leading Indicator
1996 t-2 6 0 2 7 2.6 8.0 4 0.84
Manufacturing - Export order books: level sa
2003 t-2 2 0 0 8 6.5 8.0 3 0.95
Total retail trade (Value) sa 1995 t-2 6 2 2 -2 2.9 0.0 -4 0.75
Passenger car registrations sa
2003 t-2 2 0 0 3 4.0 3.0 -1 0.86
CPI Food excl. Restaurants (inverted)
1994 t-2 7 1 1 9 5.3 12.0 12 0.58
Share prices: OMX Tallin index
1996 t-2 6 1 1 6 2.8 5.0 3 0.81
ITS Net trade (f.o.b. - c.i.f.) sa
1993 t-2 7 5 3 15 2.5 14.0 24 0.62
April 2011
OECD Composite Leading Indicators
Israel
The reference series
The reference series used for constructing OECD composite leading indicators (CLI) for Israel is the monthly index of industrial production (IIP) excluding construction. The IIP series starts in 1990, it is timely (t-2, able to meet the MEI publication deadline) and accessible from the MEI database. Furthermore, the IIP series is seasonally adjusted by source and has year 2005 as a base year.
Growth cycles in Industrial production
* For additional information on the de-trending method please refer to the OECD CLI methodological note.
Industrial production registered four complete growth cycles measured from trough to trough over the period 1990-2010. The length of the cycle varies from 26 months to 99 months. The average duration of a cycle is 56 months with an average duration of the expansion phase of 31 months and an average duration in the contraction phase of 25 months.
The Composite Leading Indicator
The table below presents the turning point dates of the CLI and the reference series:
1991-01
1996-01
2000-08
1999-03
2008-04
2003-07
2004-10
2009-06
2005-09
2010-05
94
96
98
100
102
104
106
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in Industrial production (IIP) (percentage deviation from trend*, seasonally adjusted)
IIP TP_Date
April 2011
OECD Composite Leading Indicators
Turning point dates as
predicted by CLI
Turning point dates in IIP
Lead (months)
trough Jan-91
peak Dec-95 Jan-96 1
trough Aug-98 Mar-99 7
peak Mar-00 Aug-00 5
trough Mar-03 Jul-03 4
peak Jun-04 Oct-04 4
trough Aug-05 Sep-05 1
peak Nov-07 Apr-08 5
trough Mar-09 Jun-09 3
peak Apr-10 May-10 1
The CLI performs well in predicting the turning points of the reference series since 1995, date from which it is calculated. The mean lead of 3 months is relatively short. The standard deviation of lead times is 2 months. The general fit of the CLI with the reference series measured by the peak-correlation coefficient (0.88) is y good. The CLI did not miss any turning points and did not have any extra turning points.
Shaded areas represent observed growth cycle downswings (measured from peak to trough) in the reference series , the industrial production.
94
96
98
100
102
104
106
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in CLI and Industrial production (IIP) (percentage deviation from trend, seasonally adjusted)
IIP CLI
April 2011
OECD Composite Leading Indicators
The components of the composite leading indicator
Six leading indicators are used to calculate the best performing CLI for Israel, of which one is a financial indicator, one monitors business surveys, two refer to external relations and finally two represent real indicators. All components are monthly. Four series show a lead greater or equal to 4 months at all turning points according to the mean measure. All series show a good fit at peak correlation with the reference.
Indicator Starting
date Timeliness
Turning points Mean Lead (+)
St. Dev.
Median Lead (+)
Cross correlation
Targeted Missed Extra Lead (+)
Coef.
Composite Leading Indicator 1995 t-2 9 0 0 3 2.0 4.0 4 0.88
Business confidence - all businesses - Expected net
balance sa 1983 t-2 10 3 4 2 2.0 3.0 4 0.78
Total retail trade (Volume) 1995 t-2 9 3 0 3 2.5 4.0 2 0.69
Domestic PPI Manufacturing 1995 t-2 8 4 4 4 5.1 6.0 1 0.56
Share prices: TA composite 1984 t-2 10 4 3 5 2.2 4.0 6 0.59
Tourism - Total Departures of Israelis sa
1998 t-2 8 2 2 4 2.5 4.0 3 0.72
Exports in manufacturing - diamonds
1975 t-2 10 1 4 4 4.4 4.0 6 0.54
April 2011
OECD Composite Leading Indicators
Slovenia
The reference series
The reference series used for constructing OECD composite leading indicators (CLI) for Slovenia is the monthly index of industrial production (IIP) excluding construction. The IIP series starts in 1992, it is timely (t-2, able to meet the MEI publication deadline) and accessible from the MEI database. Furthermore, the IIP series is seasonally adjusted by Eurostat and has year 2005 as a base year.
Growth cycles in Industrial production
* For additional information on the de-trending method please refer to the OECD CLI methodological note.
Industrial production registered four growth cycles measured from trough to trough over the period 1994-2010. The length of the cycle varies from 24 months to 69 months. The average duration of a cycle is 49 months with an average duration of the expansion phase of 32 months and an average duration in the contraction phase of 16 months.
The Composite Leading Indicator
The table below presents the turning point dates of the CLI and the reference series:
1993-05
1995-02
1995-12
1998-02 2001-02
1999-04
2008-05
2004-12
2009-05
94
96
98
100
102
104
106
1992 1994 1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in Industrial production (IIP) (percentage deviation from trend*, seasonally adjusted)
IIP TP_Date
April 2011
OECD Composite Leading Indicators
Turning point dates as
predicted by CLI
Turning point dates in IIP
Lead (months)
trough May-93 missed
peak Feb-95 missed
trough Oct-95 Dec-95 2
peak Mar-97 Feb-98 11
trough Jan-99 Apr-99 3
peak Jun-00 Feb-01 8
trough Feb-04 Dec-04 10
peak Mar-07 May-08 14
trough Mar-09 May-09 2
The CLI performs well in predicting the turning points of the reference series since 1995, date from which it is calculated. The mean lead is 7 months with a standard deviation of 4.5 months. The general fit of the CLI with the reference series measured by the peak-correlation coefficient (0.83) is also good. The CLI did not miss any turning points and did not have any extra turning points.
Shaded areas represent observed growth cycle downswings (measured from peak to trough) in the reference series , the industrial production.
94
96
98
100
102
104
106
1992 1994 1996 1998 2000 2002 2004 2006 2008 2010
Growth cycles in CLI and Industrial production (IIP) (percentage deviation from trend, seasonally adjusted)
IIP CLI
April 2011
OECD Composite Leading Indicators
The components of the composite leading indicator
Six leading indicators are used to calculate the best performing CLI for Slovenia, of which one is a financial indicator, three monitor business surveys, one refers to external relations and finally one represents real indicators. All components are monthly. Three series show a lead greater or equal to 7 months in average. With the exception of the CPI and the exchange rate the series show good fit at peak correlation with the reference.
Indicator Starting
date Timeliness
Turning points Mean Lead (+)
St. Dev.
Median Lead (+)
Cross correlation
Targeted Missed Extra Lead (+) Coef.
Composite Leading Indicator 1995 t-2 7 0 0 7 4.5 8.0 6 0.83
Manufacture Basic Metals SA 1998 t-2 5 0 2 4 5.3 1.0 4 0.78
Manufacturing - Order books: level sa
1995 t-2 7 0 2 2 5.8 1.0 3 0.85
Production: tendency mfg. sa 1995 t-2 7 1 3 7 5.2 6.0 5 0.75
CPI All items (inverted) 1980 t-2 9 4 2 13 2.8 12.0 10 0.37
EUR/USD exchange rate monthly average
1995 t-2 8 2 2 5 4.5 5.0 14 0.22
Expected economic situation sa
1996 t-2 6 1 3 7 5.4 5.0 7 0.64