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Estimating Indexes of Coincident and Leading Indicators

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  • Joannes Mongardini
  • Tahsin Saadi-Sedik

Abstract

The analysis of coincident and leading indicators can help policymakers gauge the short-term direction of economic activity. While such analysis is well established in advanced economies, it has received relatively little attention in many emerging market and developing economies, reflecting in part the lack of sufficient historical data to determine the reliability of these indicators. This paper presents an econometric approach to deriving composite indexes of coincident and leading indicators for a small open economy, Jordan. The results show that, even with limited monthly observations, it is possible to establish meaningful economic and statistically significant relations between indicators from different sectors of the economy and the present and future direction of economic activity.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 03/170.

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Length: 32
Date of creation: 01 Aug 2003
Date of revision:
Handle: RePEc:imf:imfwpa:03/170

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Related research

Keywords: Economic indicators; business cycles; business cycle; growth rate; time series; statistics; equation; real gdp; confidence interval; growth rates; economic growth; growth cycles; significance level; forecasting; statistic; standard error; standard errors; logarithms; covariance; correlation; cointegration; business cycle indicators; correlations; business cycle activity; deductions; statistical data; gdp deflator; econometrics; statistical significance; dummy variables; predictability; statistical measure; descriptive statistics; factor analysis; business cycle fluctuations; time series analysis; estimation procedure; samples; statistical terms; statistical inference; gdp growth; estimation of equation; business cycles fluctuations; dummy variable; maximum likelihood estimation; measurement error; financial statistics;

References

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Citations

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Cited by:
  1. Michael Meow-Chung Yap, 2009. "Assessing Malaysia’s Business Cycle indicators," Development Research Unit Working Paper Series 04-09, Monash University, Department of Economics.
  2. Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer, 2009. "Composite Leading Indicators for Ukraine: An Early Warning Model," CASE Network Reports 0085, CASE-Center for Social and Economic Research.
  3. Martin Petri & Tahsin Saadi-Sedik, 2006. "To Smooth or Not to Smooth," IMF Working Papers 06/257, International Monetary Fund.
  4. Cotrie, Gladys & Craigwell, Roland & Maurin, Alain, 2009. "A review of leading composite indicators: making a case for their use in Caribbean economies," MPRA Paper 33390, University Library of Munich, Germany, revised 2009.
  5. Alain Durré & Bernard Laurens & Alexandre Chailloux, 2009. "Requirements for Using Interest Rates As An Operating Target for Monetary Policy:The Case of Tunisia," IMF Working Papers 09/149, International Monetary Fund.

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