Está aqui

Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach

Autores 
Luís Catela Nunes
Ano de Divulgação 
2003
Código JEL 
C14 - Semiparametric and Nonparametric Methods
C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Resumo 
In the context of a common monetary policy, tracking euro area economic developments becomes essential. The aim of this paper is to build monthly coincident and leading composite indicators for the euro area business cycle. However, instead of looking at the overall comovement between the variables as it is standard in the literature, we show how one can resort to both time and frequency domain analysis to achieve additional insight about their relationship. We find that, in general, the lead/lag properties of economic indicators depend on the cycles periodicity. Following a frequency band approach, we take advantage of this in the construction of the coincident and leading composite indicators. The resulting indicators are analysed and a comparison with other composite indicators proposed in the literature is made.
Link para documento 
Publicado como 
Coincident and leading indicators for the euro area: A frequency band approach
Tags