| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3102
|
| DP3102 Time-Varying Market Integration and Expected Returns in Emerging Markets |
| Frank de Jong; Frans de Roon
|
| 发表日期 | 2001-12-21
|
| 出版年 | 2001
|
| 语种 | 英语
|
| 摘要 | This Paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. The index is estimated on the basis of a harmonized data set of monthly statistics of the euro area (951 series) which we constructed from a variety of sources. We use the information of this large panel to obtain an indicator which has three characteristics: (i) it provides real time information on monthly coincident activity since it is updated as new information become available in a non-synchronous way; (ii) it is cleaned from noise originated from measurement error and idiosyncratic national and sectoral dynamics; (iii) it is cleaned from seasonal and short-run dynamics through a filter that requires very little revision at the end of the sample. 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 by product 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. |
| 主题 | International Macroeconomics
|
| 关键词 | Business cycle
Dynamic factor model
|
| URL | https://cepr.org/publications/dp3102
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532142
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推荐引用方式
GB/T 7714 |
Frank de Jong,Frans de Roon. DP3102 Time-Varying Market Integration and Expected Returns in Emerging Markets. 2001.
|
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