A new coincident index of business cycles based on monthly and quarterly series

• المؤلفون الرئيسيون: Mariano, Roberto S., Murasawa, Yasutomo
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2003
• الموضوعات: Factor analysis; Time series; Missing observation; State-space model; Kalman filter; Stock-Watson index; Econometrics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/374; https://ink.library.smu.edu.sg/context/soe_research/article/1373/viewcontent/New_Coincident_Index_of_Business_Cycles_Based_on_Monthly_pp_2002.pdf
• المؤسسة: Singapore Management University

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and t...