Ard den Reijer

Jacobs, J.P.A.M., Otter, P.W. and A.H.J. den Reijer (2007), Information, data dimension, and factor structure, DNB Working Paper no. 150. Download.

Abstract: This paper employs concepts from information to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the ‘optimal’ size of the data set, in particular whether an extra variable adds information. The methods can be used as a first step in the construction of a dynamic factor model or a leading index, as illustrated with a macroeconomic data set on The Netherlands..

Presentation of this paper by my coauthor at the 13th International Conference on Computing in Economics and Finance, Montréal 2007 and my presentation at the Centre for Central Banking Studies of the Bank of England, at the conference on Factor Structures for Panel and Multivariate Time Series Data at Maastricht University and at an DNB lunch seminar can be found here.

Den Reijer, A.H.J. (2007), Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle, DNB Working Paper no. 153. Download current version

Abstract: This study analyses the dynamic characteristics of staffing employment across different business sectors and across different geographical regions in the Netherlands. We analyse a micro data set of the market leader of the Dutch staffing employment market, i.e. Randstad. We apply the dynamic factor model to extract common information out of a large data set and to isolate business cycle frequencies with the aim of forecasting economic activity. We identify regions and sectors whose cyclical developments lead the staffing labour cycle at the country level. The second question is then which model specification can exploit best the identified leading indicators at the disaggregate level to forecast the country aggregate? The dynamic factor model turns out to outperform univariate benchmark forecasting models by exploiting the substantial temporal variation of the staffing labour market at the disaggregate level.

Presentation of this paper at seminars at De Nederlandsche Bank and the 5th studiedag conjuntuur at Nyenrode University can be found here.

Den Reijer, A.H.J. (2009), The Dutch business cycle: a finite sample approximation of selected leading indicators., Journal of Business Cycle Measurement and Analysis 2009(2). Download latest version.

Abstract: In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald bandpass filter is employed to isolate the cycle using the definition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The coincident business cycle index is based on industrial production, household consumption and staffing employment. These three variables represent key macroeconomic developments, which are also analysed by both the CEPR and NBER dating committees. The composite leading index consists of eleven indicators representing different sectors in the economy: three financial series, four business and consumer surveys and four real activity variables, of which two supply- and two demand-related. The pseudo real-time performance of the composite indicator is analyzed by the extent to which the indicator gets revised as more data becomes available. Finally, the composite leading indicator is employed in a bivariate Vector Autoregressive model to forecast GDP growth rates.

Presentation of this paper given at a DNB lunch seminar, the 4th Studiedag Conjunctuur, the 28th CIRET Conference on Cyclical Indicators and Economic Policy Decisions in Rome, the International Workshop on Computational and Financial Econometrics (CFE 2007) in Geneva, the 27th Annual International Symposium on Forecasting on Financial Forecasting in a Global Economy in New York City and a seminar at The Conference Board in New York City can be found here. The monthly update of the indicator is published on the front page of the website of De Nederlandsche Bank (lower left corner) and on the website of the Dutch policy journal Economisch Statistische Berichten. The publication of the indicator in the Dutch financial newspaper Het Financieele Dagblad on the 25th of September 2007 can be found here. Finally, the indicator is presented in a not-too-technical way in a magazine for econometrics students and can be found here.

G. Rünstler, K. Barhoumi, S. Benk, R. Cristadoro, A. den Reijer, A. Jakaitiene, P. Jelonek, A. Rua, K. Ruth, C. Van Nieuwenhuyze, (2009), Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise, Journal of Forecasting 28(7). Download ECB Occasional Paper no. 84.

Abstract: This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small bridge equations and forecast equations in which the bridging between monthly and quarterly data is achieved through a regression on factors extracted from large monthly datasets. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we fi nd that models that exploit monthly information outperform models that use purely quarterly data and, amongst the former, factor models perform best..

Peeters, H.M.M. and A.H.J. den Reijer (2008), On Wage Formation, Wage Development and Flexibility: A Comparison between European Countries and the United States, Applied Econometrics and International Developments 8(1). Download previous version

Abstract: For Germany, Spain, France, the Netherlands and the US an Error Correction Model with a long-term non-linear wage equation is estimated by 3-SLS to obtain consistent estimates, accounting for endogeneity and common shocks. On the basis of the estimated parameter elasticities of wages with respect to labour productivity, value added and consumer prices, taxes, unemployment and replacement rates are computed along with the wage contributions. The results indicate that the dominant role of prices in the formation of wages in the seventies and eighties was taken over by labour productivity in the US and unemployment in Spain and – almost- in the Netherlands at the end of the nineties. Evidence for a stronger real wage flexibility of the US in comparison with the four European countries is not found.

Presentation of this paper at seminars at De Nederlandsche Bank, European Central Bank, the European Commission Directorate General Employment and Social Affairs, Banque de France Symposium on Modelling and Forecasting wage and price dynamics in France, the US and the euro area, a poster session at the 18th Annual Conference of the European Economic Association (EEA) in Stockholm 2003 can be found here.

Den Reijer, A.H.J. (2007), Deviation Cycles in Manufacturing: Business Cycle Measurement and Leading Indicators, Journal of Business Cycle Measurement and Analysis 2007(1). Download previous version

Abstract:The deviation cycles in the manufacturing industry of nine OECD-countries are identified by applying the Christiano-Fitzgerald bandpass filter. Turning points, low- and high-growth phases and other descriptive statistics are derived from these deviation cycles. A regression based test statistic is applied to test for duration dependence. Moreover, the international linkage between the cyclical motions in the manufacturing industry of two countries is investigated by measuring the degree of synchronisation. In addition to measuring the cyclical fluctuation, a composite leading indicator is constructed which replicates and predicts the deviation cycle in the manufacturing industry. This composite leading indicator is a single index composed of economic, financial and expectation variables possessing leading properties.

Presentation of this paper given at a DNB lunch seminar, the Econometric Society European Meeting (ESEM) 2003 in Stockholm, SOM Workshop on business cycle analysis at the university of Groningen and a seminar at Sveriges Riksbanken can be found here.

Roodenburg, O. and A.H.J. den Reijer (2006), Dutch GDP data revisions: are they predictable and where do they come from?, Applied Economics Quarterly 52(4). Download previous version.

Abstract:This paper examines whether the preliminary releases of GDP incorporate efficiently all available information or whether the preliminary estimates contain information that can be useful in predicting forthcoming GDP data revisions. Forecast rationality tests are applied to distinguish between these two characterisations. We analyse the revision over three horizons: the very short term revision after one quarter, the short-term revision after two years and the long-term revision. We find evidence of predictability for all short- and long-term revisions of Dutch GDP data. Our evidence for the revisions of the seasonally adjusted quarter-on-quarter growth rates are in line with the findings of G7 countries. Moreover, we analyse the revisions of the six expenditure components and ten prodcution components that constitute GDP. Only the preliminary releases of household consumption and the construction sector seem to explain the GDP data revisions. However, the general conclusion is that the forecast rationality hypothesis is rejected for almost all components separately, while almost no individual component's preliminary data release can forecast the revision of GDP.

Presentation of this paper given at a DNB lunch seminar and at the 5th EABCN/CEPR Workshop Needed: A Real-Time Database for the Euro Area can be found here.

Den Reijer, A.H.J. and P.J.G. Vlaar (2006), Forecasting inflation: An art as well as a science!, De Economist 154(1). Download previous version

Abstract: In this study, we build two forecasting models to predict inflation Harmonised Index of Consumer Prices (HICP) for the Netherlands and for the euro area. The models provide point forecasts and prediction intervals for both the components of the HICP and the aggregated HICP-index itself. Both models are small-scale linear time series models allowing for long-run equilibrium relationships between HICP components and other variables, notably the hourly wage rate and the import or producer prices. The model for the Netherlands is used to generate the Dutch inflation projections for the eurosystem’s Narrow Inflation Projection Exercise (NIPE). The recursive forecast errors for several forecast horizons are evaluated for all models, and are found to outperform a naive forecast and optimal AR models. Moreover, the same result holds for the Dutch NIPE projections, which have been provided quarterly since 1999. The aggregation method to predict total HICP inflation generally outperforms the direct method, except for long horizons in the case of the Netherlands.

Presentation of this paper given at the 1st EABCN/CEPR Conference on the Euro Area Business Cycle, the 10th International Conference on Computing in Economics and Finance in Amsterdam, a DNB lunch seminar and at Erasmus University Rotterdam and Maastricht University can be found here.

Reijer, A.H.J. den, 2009, The Dutch Business Cycle: Which Indicators Should We Monitor?, AENorm: Magazine for students in Actuarial Sciences, Econometrics & Operations Research, no. 62, p. 74-78. Download

Den Reijer, A.H.J., 2002, Book Review: Modeling Aggregate Behaviour and Fluctuations in Economics: Stochastic Views of Interacting Agents, by M. Aoki, De Economist 150(5), pp. 622-623. Download previous version

Reijer, A.H.J. den, 2010, Promotierubriek: Macro-economisch voorspellen op basis van voorlopende conjunctuurindicatoren, Economisch Statistische Berichten, nr. 4588. Download

Reijer, A.H.J. den, 2007, Schommelingen in het consumentenvertrouwen, Economisch Statistische Berichten, nr. 4516, p. 496. Download

Reijer, A.H.J. den, 2007, Industriële productie nader bezien, Economisch Statistische Berichten, nr. 4506, p. 176. Download

Reijer, A.H.J. den, 2006, Nederlandse hoogconjunctuur nader beschouwd, Economisch Statistische Berichten, nr. 4500, p. 656. Download

Reijer, A.H.J. den, 2006, Betere vooruitzichten ondanks vlakkere yieldcurve, Economisch Statistische Berichten, nr. 4482, p. 137. Download

Reijer, A.H.J. den, 2006, De uitvoerconjunctuur, Economisch Statistische Berichten, nr. 4480, p. 93. Download

Reijer, A.H.J. den, 2006, De consumptieconjunctuur, Economisch Statistische Berichten nr. 4478, p. 45. Download

Reijer, A.H.J. den, 2005, De uitzendconjunctuur, Economisch Statistische Berichten nr. 4470, p. 401. Download

Reijer, A.H.J. den, 2005, Business cycles as usual?, Economisch Statistische Berichten nr. 4460, p. 238. Download

Reijer, A.H.J. den, 2005, Het koopgedrag van de consument, Economisch Statistische Berichten nr. 4451, p. 44. Download

Reijer, A.H.J. den, 2004, De conjunctuur, de indicator en de waarheid, Economisch Statistische Berichten nr. 4441, p. 427. Download

Reijer, A.H.J. den, 2004, Jetzt geht´s hausse?, Economisch Statistische Berichten nr. 4437, p. 352. Download

Reijer, A.H.J. den, 2004, Conjunctuurindicatoren bij DNB, Economisch Statistische Berichten nr. 4425, p. 54.Download

Reijer, A.H.J. den, 2003, De Nederlandse conjunctuur in spagaat, Economisch Statistische Berichten nr. 4409, p. 355.Download

Reijer, A.H.J. den, 2003, De wereldconjunctuur bestaat, Economisch Statistische Berichten, nr. 4401, p. 211.Download

Reijer, A.H.J. den, 2002, Verschillende economieën, dezelfde conjunctuurbeweging?, DNB Kwartaalbericht, pp. 55-61. Download