| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5646 |
| DP5646 Political Budget Cycles and Fiscal Decentralization | |
| Ben Lockwood; Jean Hindriks; Paula Gonzalez; Nicolas Porteiro | |
| 发表日期 | 2006-04-28 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper presents ideas and methods underlying the construction of an indicator that tracks euro area GDP growth but, unlike GDP growth, (i) is updated monthly and almost in real time, and (ii) is free from short-run dynamics. Removal of short-run dynamics from a time series to isolate the medium to long-run component can be obtained by a band-pass filter. However, it is well known that band-pass filters, being two-sided, perform very poorly at the end of the sample. New EuroCOIN is an estimator of the medium to long-run component of GDP that only uses contemporaneous values of a large panel of macroeconomic time series, so that no end-of-sample deterioration occurs. Moreover, as our dataset is monthly, New EuroCOIN can be updated each month and with a very short delay. Our method is based on generalized principal components that are designed to use leading variables in the dataset as proxies for future values of GDP growth. As the medium to long-run component of GDP is observable, although with delay, the performance of New EuroCOIN at the end of the sample can be measured. |
| 主题 | International Macroeconomics |
| 关键词 | Coincident index Band-pass filter Large dataset factor models Generalized principal components |
| URL | https://cepr.org/publications/dp5646 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534504 |
| 推荐引用方式 GB/T 7714 | Ben Lockwood,Jean Hindriks,Paula Gonzalez,et al. DP5646 Political Budget Cycles and Fiscal Decentralization. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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