Coincident and leading indicators for the euro area

Detalhes bibliográficos
Autor(a) principal: Rua, António
Data de Publicação: 2005
Outros Autores: Nunes, Luis C.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142320
Resumo: The aim of this paper is to build monthly coincident and leading composite indicators for the euro area growth cycle. In contrast with previous literature, where the variables to be included in the composite indicators are chosen according to their overall comovement with the reference cycle, we resort to frequency domain analysis to achieve additional insight about their relationships at different frequency bands. We find that, in general, the lead/lag properties of the variables depend on the cycle periodicity. The resulting indicators are analysed and a comparison with other composite indicators proposed in the literature is made. We find that this approach allows for substantial gains when the focus is on leading indicators, especially as the desired time lead increases.
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spelling Coincident and leading indicators for the euro areaA frequency band approachBandpass filterBusiness cyclesCoincident indicatorGrowth cyclesLeading indicatorPrincipal componentsSpectral analysisBusiness and International ManagementThe aim of this paper is to build monthly coincident and leading composite indicators for the euro area growth cycle. In contrast with previous literature, where the variables to be included in the composite indicators are chosen according to their overall comovement with the reference cycle, we resort to frequency domain analysis to achieve additional insight about their relationships at different frequency bands. We find that, in general, the lead/lag properties of the variables depend on the cycle periodicity. The resulting indicators are analysed and a comparison with other composite indicators proposed in the literature is made. We find that this approach allows for substantial gains when the focus is on leading indicators, especially as the desired time lead increases.NOVA School of Business and Economics (NOVA SBE)RUNRua, AntónioNunes, Luis C.2022-07-24T00:31:41Z2005-072005-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article21application/pdfhttp://hdl.handle.net/10362/142320eng0169-2070PURE: 2020870https://doi.org/10.1016/j.ijforecast.2005.02.001info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:57Zoai:run.unl.pt:10362/142320Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:15.962525Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Coincident and leading indicators for the euro area
A frequency band approach
title Coincident and leading indicators for the euro area
spellingShingle Coincident and leading indicators for the euro area
Rua, António
Bandpass filter
Business cycles
Coincident indicator
Growth cycles
Leading indicator
Principal components
Spectral analysis
Business and International Management
title_short Coincident and leading indicators for the euro area
title_full Coincident and leading indicators for the euro area
title_fullStr Coincident and leading indicators for the euro area
title_full_unstemmed Coincident and leading indicators for the euro area
title_sort Coincident and leading indicators for the euro area
author Rua, António
author_facet Rua, António
Nunes, Luis C.
author_role author
author2 Nunes, Luis C.
author2_role author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Rua, António
Nunes, Luis C.
dc.subject.por.fl_str_mv Bandpass filter
Business cycles
Coincident indicator
Growth cycles
Leading indicator
Principal components
Spectral analysis
Business and International Management
topic Bandpass filter
Business cycles
Coincident indicator
Growth cycles
Leading indicator
Principal components
Spectral analysis
Business and International Management
description The aim of this paper is to build monthly coincident and leading composite indicators for the euro area growth cycle. In contrast with previous literature, where the variables to be included in the composite indicators are chosen according to their overall comovement with the reference cycle, we resort to frequency domain analysis to achieve additional insight about their relationships at different frequency bands. We find that, in general, the lead/lag properties of the variables depend on the cycle periodicity. The resulting indicators are analysed and a comparison with other composite indicators proposed in the literature is made. We find that this approach allows for substantial gains when the focus is on leading indicators, especially as the desired time lead increases.
publishDate 2005
dc.date.none.fl_str_mv 2005-07
2005-07-01T00:00:00Z
2022-07-24T00:31:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/142320
url http://hdl.handle.net/10362/142320
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0169-2070
PURE: 2020870
https://doi.org/10.1016/j.ijforecast.2005.02.001
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 21
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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