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Coincident, leading and recession indexes for the Lithuanian economy

Author

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  • Agne Reklaite

    (Vilnius University)

Abstract

In this paper coincident and leading economic indicators are analysed and used to construct coincident, leading and recession indexes for the Lithuanian economy by applying Stock and Watson (1989) methodology. Coincident and leading indexes describe the dynamics of the Lithuanian economy fairly well. The recession index accurately predicts periods of economic contraction.

Suggested Citation

  • Agne Reklaite, 2011. "Coincident, leading and recession indexes for the Lithuanian economy," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 91-108, July.
    • Handle: RePEc:bic:journl:v:11:y:2011:i:1:p:91-108
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    File URL: https://www.tandfonline.com/doi/epdf/10.1080/1406099X.2011.10840492
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    References listed on IDEAS

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    Cited by:

    1. Agne Reklaite, 2015. "Globalisation Effect Measure Via Hierarchical Dynamic Factor Modelling," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 10(3), pages 139-149, September.

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    More about this item

    Keywords

    Recession; Coincident and Leading Indicators; Stock andWatson method; Kalman Filter;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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