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Constructing Historical Euro Area Data

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Author Info

  • Heather Anderson

    (Australian National University)

  • Mardi Dungey

    (University of Cambridge)

  • Denise Osborn

    (University of Manchester)

  • Farshid Vahid

    (Australian National University)

Abstract

The conduct of time series analysis on the Euro Area currently presents problems in terms of availability of sufficiently long data sets. The ECB has provided a dataset of quarterly data from 1970 covering many data series in its Area Wide Model (AWM), but not for a number of important financial market series. This paper discusses methods for producing such backdata and in the resulting difficulties in selecting aggregation methods. Simple applicaiton of the AWM weights results in orders of magnitude difference in financial series. The use of different aggregation methods across series induces relationships. The effects of different possible methods of constructing data are shown through estimation of simple Taylor rules, which result in different weights on output gaps and inflation deviation for what are purportedly the same data

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Bibliographic Info

Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2006 with number 99.

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Date of creation: 02 Feb 2007
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Handle: RePEc:mmf:mmfc06:99

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Web page: http://www.essex.ac.uk/afm/mmf/index.html

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Keywords: Euro area; data aggregation; Taylor rule;

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Cited by:
  1. Mardi Dungey, 2010. "Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  2. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006.
  3. Heather M Anderson, 2010. "Discussion of Key Elements of Global Inflation," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  4. Helmut Luetkepohl, 2011. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 107-133, February.
  5. Jean-Sébastien Pentecôte & Maryline Huchet-Bourdon, 2009. "Shock asymmetries and distance to the Euro Area," Post-Print hal-00730072, HAL.
  6. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.

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