Calculation of Normalised Business and Consumer Confidence by HC120830183716

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									         Calculation of Normalised

Business and Consumer Confidence Indicators

           and Zone Aggregates



               Olivier Brunet
          OECD Statistics Directorate



                                         1
                       Topics

   National indicators for zones
   Methodology
   Publication of results
   Alternative approaches for zones
   Comparison with World and Euro confidence indicators
   Conclusions and future work




                                                    2
     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                   5
                                      Indonesia
Big 6 Non OECD (6)       Russia       3                       Brazil
                                                              China
World (35)               24           4                       7

                                                                       3
         National indicators for zones (consumer)
       Zones            Monthly       Quarterly      No indicator
Major 7 (7)        6              Japan

Euro area (12)     12

OECD Total (29)    24             Japan           Norway
                                  New Zealand     Turkey
                                  Switzerland
Major Asia         Australia,     Japan           India
Pacific (7)        Korea, China   New Zealand     Indonesia
Big 6 Non OECD (6) China          South Africa    India
                   Brazil                         Indonesia
                                                  Russia
World (35)         26             4               Norway, Turkey,
                                                  India, Indonesia,
                                                  Russia
                                                              4
                    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




                                                        5
             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.




                                                      6
                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
                                                      7
                  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
                                                   8
        Publication of results (manufacturing)

                     Coverage of   Frequency of     Share of Starting
                        total      components      quarterly  date
                     components                   components
                                   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



                                                              9
         Publication of results (consumers)

                     Coverage of   Frequency of     Share of   Starting
                        total      components      quarterly    date
                     components                   components
                                    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

                                                                10
          Publication of results (manufacturing)
                                   World Business Confidence: Manufacturing
                                                Ratio to Trend
102                                                                                                  102




101                                                                                                  101




100                                                                                                  100




99                                                                                                   99




98                                                                                                   98




97                   World                                                                           97
                     OECDTotal
                     Big6NonOECD

96                                                                                                   96
 Jan-98     Jan-99      Jan-00          Jan-01       Jan-02        Jan-03     Jan-04   Jan-05




                                                                                                11
            Publication of results (manufacturing)
                                        World Business Confidence: Manufacturing
                                                     Ratio to Trend
 102                                                                                                     102


101.5                                                                                                    101.5


 101                                                                                                     101


100.5                                                                                                    100.5


 100                                                                                                     100


 99.5                                                                                                    99.5


  99                                                                                                     99


 98.5                                                                                                    98.5


  98                                                                                                     98
            MajorAsiaPacific
            World
 97.5       EuroArea                                                                                     97.5


  97                                                                                                     97
   Jan-97        Jan-98        Jan-99     Jan-00     Jan-01      Jan-02      Jan-03   Jan-04   Jan-05



                                                                                                    12
          Publication of results (manufacturing)
                                    OECD Business Confidence: Manufacturing
                                                Ratio to Trend
104                                                                                                       104


103                                                                                                       103


                                                                                                          102
102

                                                                                                          101
101

                                                                                                          100
100

                                                                                                          99
99
                                                                                                          98

98
                                                                                                          97

97
                                                                                                          96
            United States
96          Japan
                                                                                                          95
            EuroArea

95                                                                                                        94
 Jan-85   Jan-87      Jan-89   Jan-91    Jan-93   Jan-95    Jan-97    Jan-99   Jan-01   Jan-03   Jan-05



                                                                                                 13
             Publication of results (consumers)
                                              World Consumer Confidence
                                                     Ratio to Trend
103                                                                                                            103




102                                                                                                            102




101                                                                                                            101




100                                                                                                            100




99                                                                                                             99




           OECDTotal
98                                                                                                             98
           EuroArea
           World


97                                                                                                             97
 Jan-94   Jan-95   Jan-96   Jan-97   Jan-98     Jan-99   Jan-00   Jan-01   Jan-02   Jan-03   Jan-04   Jan-05



                                                                                                      14
               Publication of results (consumers)
                                                 World Consumer Confidence
                                                        Ratio to Trend
103                                                                                                                103




102                                                                                                                102




101                                                                                                                101




100                                                                                                                100




99                                                                                                                 99




98                                                                                                                 98



          MajorAsiaPacific
97        World                                                                                                    97
          EuroArea


96                                                                                                                 96
 Jan-94   Jan-95      Jan-96   Jan-97   Jan-98      Jan-99   Jan-00   Jan-01   Jan-02   Jan-03   Jan-04   Jan-05




                                                                                                            15
                      Publication of results
                   Manufacturing and consumers
                               Business and Consumer Confidence for OECD Major 7 Area
                                                  Ratio to Trend
103                                                                                                           103




102                                                                                                           102




101                                                                                                           101




100                                                                                                           100




99                                                                                                            99




98                                                                                                            98
          BusinessOECDMajor7
          ConsumerOECDMajor7


97                                                                                                            97
 Jan-85   Jan-87     Jan-89      Jan-91    Jan-93    Jan-95    Jan-97    Jan-99    Jan-01   Jan-03   Jan-05



                                                                                                     16
              3 Alternative Approaches

         Series name   De-trending   Normalisation   Weigthing
EC       EuroAreaEC        No             No         Changing
                                                     every year

OECD 1    EuroArea        Yes            Yes           Fixed
          OECDRT

OECD 2    EuroArea         No            Yes           Fixed
           OECD




                                                               17
                           Euro Area Industrial Business Confidence: Alternative Calculations
                                                     Ratio to Trend
103                                                                                                               103




102                                                                                                               102




101                                                                                                               101




100                                                                                                               100




99                                                                                                                99




98                                                                                                                98


          EuroAreaEC
97        EuroAreaOECD                                                                                            97
          EuroAreaOECDRT


96                                                                                                                96
 Jan-85   Jan-87    Jan-89       Jan-91     Jan-93    Jan-95     Jan-97     Jan-99     Jan-01   Jan-03   Jan-05




                                                                                                         18
                              Euro Area Consumer Confidence: Alternative Calculations
                                                  Rati to Trend
103                                                                                                            103




102                                                                                                            102




101                                                                                                            101




100                                                                                                            100




99                                                                                                             99




98                                                                                                             98


          EuroAreaEC
97        EuroAreaOECDRT                                                                                       97
          EuroAreaOECD


96                                                                                                             96
 Jan-85    Jan-87    Jan-89    Jan-91     Jan-93    Jan-95     Jan-97    Jan-99     Jan-01   Jan-03   Jan-05




                                                                                                        19
          Comparison of World and Euro area
               confidence indicators
  Indicator   Share    Sector      De-     Normali          Weighting
               of               trending    sation
              GDP-
              PPP
World WES     95.4    Economy     No         No         Fixed trade weights
(90)
Euro WES      100     Economy     No         No         Fixed trade weights
(12)
Euro EC       100      MFG        No         No      Changing yearly GDP-PPP
(12)                                                         weights
World OECD    83.1     MFG        No        Yes       Fixed GDP-PPP weights
(35)
OECD Total    100      MFG        No        Yes       Fixed GDP-PPP weights
(29)
Euro OECD     100      MFG        No        Yes       Fixed GDP-PPP weights
(12)
                                                                        20
          World Business Confidence Indicators
                                                  World Business Confidence Indicators
                                                             Ratio tro Trend
103                                                                                                                                              103

              WorldWES
              WorldOECD
              OECDTotal
102                                                                                                                                              102




101                                                                                                                                              101




100                                                                                                                                              100




99                                                                                                                                               99




98                                                                                                                                               98




97                                                                                                                                               97
 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




                                                                                                                                            21
Euro area Business Confidence Indicators
                                                Euro Area Business Confidence Indicators
                                                             Ratio to Trend
104                                                                                                                                              104
               EuroAreaWES
               EuroAreaEC
103                                                                                                                                              103
               EuroAreaOECD


102                                                                                                                                              102


101                                                                                                                                              101


100                                                                                                                                              100


99                                                                                                                                               99


98                                                                                                                                               98


97                                                                                                                                               97


96                                                                                                                                               96


95                                                                                                                                               95
 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



                                                                                                                                            22
                       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




                                                             23
                       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)


                                                         24

								
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