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An Indicator Measuring Underlying Economic Activity in Greece

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Author Info

  • Stephen G. Hall

    (Imperial College Management School)

  • Nicholas G. Zonzilos

    ()
    (Bank of Greece, Economic Research Department)

Abstract

Using a state space formulation developed by Stock and Watson and Garratt and Hall we construct an indicator, which then is interpreted as a measure of the underlying economic activity of the Greek economy. The chief novelty of the paper is that the underlying model is calibrated, rather than estimated, using sample information. Our approach is more flexible than the original one, in that it provides the possibility to cope with outlying observations and to evaluate particular shocks affecting the economy using judgmental interventions. The new indicator could be very helpful for short run policy analysis signalling emerging economic problems.

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File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200304.pdf
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Bibliographic Info

Paper provided by Bank of Greece in its series Working Papers with number 04.

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Length: 26 pages
Date of creation: Aug 2003
Date of revision:
Handle: RePEc:bog:wpaper:04

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Web page: http://www.bankofgreece.gr
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Related research

Keywords: Economic Activity; Coincident Indicator; Kalman Filter;

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References

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  1. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers 2400, C.E.P.R. Discussion Papers.
  2. Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
  3. Garratt, Anthony & Hall, Stephen G, 1996. "Measuring Underlying Economic Activity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 135-51, March-Apr.
  4. Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Mario Forni & Marco Lippi & Lucrezia Reichlin & Giovanni Veronese, 2001. "A real time coincident indicator of the euro area business cycle," Temi di discussione (Economic working papers) 436, Bank of Italy, Economic Research and International Relations Area.
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Citations

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Cited by:
  1. Heather D. Gibson & Stephan G. Hall & George S. Tavlas, 2011. "The Greek financial crisis: growing imbalances and sovereign spreads," Working Papers 124, Bank of Greece.
  2. Miroslav Klúcik & Ján Haluška, 2008. "Construction of composite leading indicator for the Slovak economy," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 55, pages 363-370, November.
  3. Sideris, Dimitrios, 2006. "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 143-154, April.
  4. Abdul Qayyum, 2005. "Modelling the Demand for Money in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(3), pages 233-252.
  5. Nicholas G. Zonzilos, 2004. "Econometric Modelling at the Bank of Greece," Working Papers 14, Bank of Greece.
  6. George A. Christodoulakis & Stephen E Satchell, 2006. "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers 32, Bank of Greece.
  7. Eleni Angelopoulou, 2005. "The Comparative Performance of Q-type and Dynamic Models of Firm Investment: Empirical Evidence from the UK," Working Papers 27, Bank of Greece.
  8. Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series 1563, European Central Bank.
  9. Louzis, Dimitrios P. & Vouldis, Angelos T., 2012. "A methodology for constructing a financial systemic stress index: An application to Greece," Economic Modelling, Elsevier, vol. 29(4), pages 1228-1241.
  10. Hondroyiannis, George & Lazaretou, Sophia, 2004. "Inflation persistence during periods of structural change: an assessment using Greek data," Working Paper Series 0370, European Central Bank.

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