Coincident and leading indicators for the euro area
Autor(a) principal: | |
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Data de Publicação: | 2005 |
Outros Autores: | |
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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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 instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799138100045152256 |