Autori: Altissimo, Filippo , Veronese, Giovanni , Bassanetti, Antonio , Cristadoro, Riccardo , Reichlin, Lucrezia
Titolo: The construction of coincident and leading indicators for the euro area business cycle.
Periodico: Banca d'Italia. Temi di discussione
Anno: 2001 - Volume: 12 - Fascicolo: 434 - Pagina iniziale: 1

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 within-country 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.


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Testo completo: http://www.bancaditalia.it/pubblicazioni/temidi/td434/tema_434_01.pdf

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