Coincident and Leading Indicators for the Euro Area

Datos Bibliográficos

ID9717048
AutoresMario Forni (0000-0003-0256-8735, Universita di Modena and CEPR), Marc Hallin (0000-0002-6599-7409, Universite Libre de Bruxelles, ECARES and ISRO), Marco Lippi (0000-0002-9663-1071, Università di Roma La Sapienza), Lucrezia Reichlin (Universite Libre de Bruxelles, ECARES, ISRO and CEPR)
Año2001
Volumen111
Número471
PáginasC62-C85
Fecha de publicación2001-04-01
Peer ReviewedSí
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/1468-0297.00620
OpenAlexW2152742313
IdiomaEN
Citas recibidas13

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 Tot many countries). The procedure is used to estimate coincident and leading indicators fut 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

Economics · Environmental Science · Fiscal Policies and Political Economy · Global Financial Crisis and Policies · Monetary Policy and Economic Impact