Coincident and Leading Indicators for the Euro Area

Dados 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)
Ano2001
Volume111
Fascículo471
PáginasC62-C85
Data de publicação2001-04-01
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoThe Economic Journal (JOURNAL)
Identificadores do periódicoISSN: 0013-0133 • E-ISSN: 1468-0297
EditoraOxford University Press (OUP) (PUBLISHER)
DOI10.1111/1468-0297.00620
OpenAlexW2152742313
IdiomaEN
Citações recebidas13

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