Coincident and leading indicators for the euro area: A frequency band approach

被引：23

作者：

Rua, A ^{[1
]}

Nunes, LC ^{[1
]}

机构：

[1] Univ Nova Lisboa, Fac Econ, P-1099032 Lisbon, Portugal

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2005年 / 21卷 / 03期

关键词：

growth cycles; business cycles; spectral analysis; bandpass filter; coincident indicator; leading indicator; principal components;

D O I：

10.1016/j.ijforecast.2005.02.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The aim of this paper is to build monthly coincident and leading composite indicators for the cure, 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. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

引用

页码：503 / 523

页数：21

共 29 条

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ALTISSIMO F, 2001, 3108 CEPR

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