Aggregate Indicators of Economic Activity for Argentina: The Principal Components Method
AbstractThe principal components methodology allows us to summarize the relevant information of a series of economic indicators. In this paper, this methodology is used on series commonly used by the BCRA to follow up aggregate demand and supply conditions. The principal components are assessed in terms of their correlation with the economic activity level and the price index evolution. In general, they have been found to be leading indicators of the business cycle (2 to 6 months) and significant predictors of the inflation rate. In particular, the performance of a demand indicator based on real time data (information available with a quarter lag) is especially outlined.
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Bibliographic InfoPaper provided by Central Bank of Argentina, Economic Research Department in its series BCRA Working Paper Series with number 200832.
Length: 24 pages
Date of creation: Feb 2008
Date of revision:
Argentina; output gap; Phillips Curve; principal components;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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