Constructing coincident indices of economic activity for the Latin American economy
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000100004 |
Resumo: | This paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board - TCB) of the U.S. economy. We find that the U.S. indicator Granger-causes the Latin American indicator in statistical tests |
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Constructing coincident indices of economic activity for the Latin American economyLatin AmericaCoincident IndicatorsBusiness CyclesKalman FilterState-Space ModelsThis paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board - TCB) of the U.S. economy. We find that the U.S. indicator Granger-causes the Latin American indicator in statistical testsFundação Getúlio Vargas2013-03-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000100004Revista Brasileira de Economia v.67 n.1 2013reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402013000100004info:eu-repo/semantics/openAccessIssler,João VictorNotini,Hilton H.Rodrigues,Claudia F.Soares,Ana Fláviaeng2013-04-12T00:00:00Zoai:scielo:S0034-71402013000100004Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2013-04-12T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false |
dc.title.none.fl_str_mv |
Constructing coincident indices of economic activity for the Latin American economy |
title |
Constructing coincident indices of economic activity for the Latin American economy |
spellingShingle |
Constructing coincident indices of economic activity for the Latin American economy Issler,João Victor Latin America Coincident Indicators Business Cycles Kalman Filter State-Space Models |
title_short |
Constructing coincident indices of economic activity for the Latin American economy |
title_full |
Constructing coincident indices of economic activity for the Latin American economy |
title_fullStr |
Constructing coincident indices of economic activity for the Latin American economy |
title_full_unstemmed |
Constructing coincident indices of economic activity for the Latin American economy |
title_sort |
Constructing coincident indices of economic activity for the Latin American economy |
author |
Issler,João Victor |
author_facet |
Issler,João Victor Notini,Hilton H. Rodrigues,Claudia F. Soares,Ana Flávia |
author_role |
author |
author2 |
Notini,Hilton H. Rodrigues,Claudia F. Soares,Ana Flávia |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Issler,João Victor Notini,Hilton H. Rodrigues,Claudia F. Soares,Ana Flávia |
dc.subject.por.fl_str_mv |
Latin America Coincident Indicators Business Cycles Kalman Filter State-Space Models |
topic |
Latin America Coincident Indicators Business Cycles Kalman Filter State-Space Models |
description |
This paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board - TCB) of the U.S. economy. We find that the U.S. indicator Granger-causes the Latin American indicator in statistical tests |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-03-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000100004 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000100004 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S0034-71402013000100004 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia v.67 n.1 2013 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1754115905538752512 |