Coincident and Leading Indicators for The Euro Area  

Oleh:

Forni, Mario ; Hallin, Marc ; Lippi, Marco ; Reichlin, Lucrezia

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 111 no. 471 (2001), page C62-C85.
Topik: indicators; leading indicators; euro area
Fulltext: 62.pdf (361.38KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. It allows us to extract indicators from a large panel of economic variables (many variables for many countries). The procedure is used to estimate coincident and leading indicators for the EURO area. Unlike other methods used in the literature, the procedure takes into consideration the cross - country as well as the within - country correlation structure and exploit all information on dynamic cross - correlation.

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