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The construction of coincident and leading indicators for the euro area business cycler of the euro area business cycle

Author

Listed:
  • Filippo Altissimo

    (Bank of Italy, Economic Research Department and CEPR)

  • Antonio Bassanetti

    (Bank of Italy, Economic Research Department)

  • Riccardo Cristadoro

    (Bank of Italy, Economic Research Department)

  • Lucrezia Reichlin

    (Universit� Libre de Bruxelles, ECARES and CEPR)

  • Giovanni Veronese

    (Bank of Italy, Economic Research Department)

Abstract
This paper investigates the business cycle properties of the euro area and computes a coincident and a leading indicator of economic activity. We accomplish this by applying the newly introduced generalized factor model to a properly constructed and harmonized data set of short term statistics of the euro area (794 monthly series). Unlike other methods used in the literature, the procedure takes into consideration the cross-country as well as the withincountry correlation structure and exploits all information on dynamic cross-correlations. As a byproduct of our analysis, we provide a characterization of the commonality and dynamic relations of the series in the data set with respect to the coincident indicator and a dating of the euro area cycle.

Suggested Citation

  • Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Lucrezia Reichlin & Giovanni Veronese, 2001. "The construction of coincident and leading indicators for the euro area business cycler of the euro area business cycle," Temi di discussione (Economic working papers) 434, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_434_01
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    References listed on IDEAS

    as
    1. Chiara Bentivogli & Paola Monti, 2001. "International Transmission Via Trade Links: Theoretically Consistent Indicators of Interdependence for Latin America and South-East Asia," Temi di discussione (Economic working papers) 410, Bank of Italy, Economic Research and International Relations Area.
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    More about this item

    Keywords

    business cycle; dynamic factor model;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O30 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - General

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