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About a Coincident Index for the State of the Economy

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Author Info
Fabio H. Nieto ()
Luis Fernando Melo ()

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Abstract

The construction of coincident indexes for the economic activity of a country is a common practice since the fifties. The methodologies vary from heuristic methods to probabilistic or statistical ones. In this paper, we present a new procedure for estimating a coincident index of the state of the economy which is optimum in a statistical sense. This procedure is based on state space models that do possess the steady-state property. We apply our methodology for computing a coincident index for the Colombian economy.

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File URL: http://www.banrep.gov.co/docum/ftp/borra194.pdf
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Publisher Info
Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 001938.

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Length: 32
Date of creation: 31 Dec 2001
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Handle: RePEc:col:000094:001938

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References listed on IDEAS
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  1. María Ripoll & Martha Misas & Enrique López, . "Una Descripción del Ciclo Industrial en Colombia," Borradores de Economia 033, Banco de la Republica de Colombia. [Downloadable!]
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  2. Singleton, Kenneth J, 1980. "A Latent Time Series Model of the Cyclical Behavior of Interest Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 559-75, October. [Downloadable!] (restricted)
  3. Altissimo, F. & Marchetti, D.J. & Oneto, G.P., 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Papers 377, Banca Italia - Servizio di Studi.
  4. Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle; Coincident and Leading Indicators and Some Stylized Facts," Temi di discussione (Economic working papers) 377, Bank of Italy, Economic Research Department. [Downloadable!]
  5. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis. [Downloadable!]
  6. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
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  7. Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 59(2), pages 147-220, September.
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