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A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle

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  • Abdullah Al-Hassan

Abstract

This paper constructs a coincident indicator for the Gulf Cooperation Council (GCC) area business cycle. The resulting coincident indicator provides a reliable measure of the GCC business cycle; over the last decade, the GCC coincident index and the real GDP growth have moved closely together. Since the indicator is constructed using a small number of common factors, the strong correlation between the indicator and real GDP growth points to a high degree of commonality across GCC economies. The timing and direction of movements in macroeconomic variables are characterized with respect to the coincident indicator. Finally, to obtain a meaningful economic interpretation of the latent factors, their behavior is compared to the observed economic variables.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 09/73.

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Length: 34
Date of creation: 01 Apr 2009
Date of revision:
Handle: RePEc:imf:imfwpa:09/73

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Related research

Keywords: Gross domestic product; Economic growth; Economic models; business cycle; time series; gdp growth; covariance; correlation; real gdp; statistics; forecasting; growth rate; measurement errors; equation; statistic; outliers; measurement error; econometrics; business cycle indicator; stationary process; business cycles; business cycle fluctuations; gdp growth rate; confidence interval; factor analysis; business cycle indicators; variance analysis; equations; outlier; logarithms; least squares method; financial statistics; common variance; predictability; statistical model; prediction; sources of business cycle; missing observation; estimation stage; data analysis; integral; random sample; degree of heterogeneity; number of variables; covariances; surveys; sample mean; consistent estimate; polynomial;

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References

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  1. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2005. "The generalised dynamic factor model: one sided estimation and forecasting," ULB Institutional Repository 2013/10129, ULB -- Universite Libre de Bruxelles.
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  9. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
  10. Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
  11. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers 3550, C.E.P.R. Discussion Papers.
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Cited by:
  1. Rafiq, M.S., 2011. "The optimality of a gulf currency union: Commonalities and idiosyncrasies," Economic Modelling, Elsevier, vol. 28(1-2), pages 728-740, January.

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