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Coincident, leading and recession indexes for the Lithuanian economy

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  • Agne Reklaite

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    (Vilnius University)

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    Abstract

    In this paper coincident and leading economic indicators are analysed and used to construct coincident, leading and recession indexes for the Lithuanian economy by applying Stock and Watson (1989) methodology. Coincident and leading indexes describe the dynamics of the Lithuanian economy fairly well. The recession index accurately predicts periods of economic contraction.

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    Bibliographic Info

    Article provided by Baltic International Centre for Economic Policy Studies in its journal Baltic Journal of Economics.

    Volume (Year): 11 (2011)
    Issue (Month): 1 (July)
    Pages: 91-108

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    Handle: RePEc:bic:journl:v:11:y:2011:i:1:p:91-108

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    Related research

    Keywords: Recession; Coincident and Leading Indicators; Stock andWatson method; Kalman Filter;

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    1. Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2001. "The Composite Index of Leading Economic Indicators: How to Make It More Timely," NBER Working Papers 8430, National Bureau of Economic Research, Inc.
    2. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
    3. Ulrich Fritsche & Sabine Stephan, 2000. "Leading Indicators of German Business Cycles: An Assessment of Properties," Macroeconomics 0004005, EconWPA.
    4. Birchenhall, Chris R & Osborn, Denise R & Sensier, Marianne, 2001. "Predicting UK Business Cycle Regimes," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(2), pages 179-95, May.
    5. Issler, J.V. & Vahid, F., 2001. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers 9/01, Monash University, Department of Econometrics and Business Statistics.
    6. Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
    7. Ahrens, Ralf, 1999. "Predicting recessions with interest rate spreads: A multicountry regime-switching analysis," CFS Working Paper Series 1999/15, Center for Financial Studies (CFS).
    8. Otrok, C. & Whiteman, C.H., 1996. "Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa," Working Papers 96-14, University of Iowa, Department of Economics.
    9. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
    10. Yanjun Liu & Carl Gaudreault & Robert Lamy, . "New Concident, Leading and Recession Indexes for the Canadian Economy: An Application of the Stock and Watson Methodology," Working Papers-Department of Finance Canada 2003-12, Department of Finance Canada.
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