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Reconstructing Aggregate Euro‐zone Data

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  • Andreas Beyer
  • Jurgen A. Doornik
  • David F. Hendry

Abstract

Reconstructing historical euro‐zone data by aggregation across individual countries is problematic because of past exchange rate changes. The approach here avoids such distortions, yet aggregates exactly when exchange rates are fixed. This is achieved by aggregating weighted within‐country growth rates to obtain euro‐zone growth rates, then cumulating this euro‐zone growth rate to obtain aggregate levels. The aggregate implicit deflator then coincides with the implicit deflator of the aggregate nominal and real data. Sub‐aggregates also aggregate correctly, both regionally and temporally, as well as, e.g., monetary sub‐aggregates. The resulting euro‐zone data over the previous two decades are compared with other approaches.

Suggested Citation

  • Andreas Beyer & Jurgen A. Doornik & David F. Hendry, 2000. "Reconstructing Aggregate Euro‐zone Data," Journal of Common Market Studies, Wiley Blackwell, vol. 38(4), pages 613-624, November.
  • Handle: RePEc:bla:jcmkts:v:38:y:2000:i:4:p:613-624
    DOI: 10.1111/1468-5965.00256
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    Cited by:

    1. Monteforte, Libero, 2007. "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, vol. 24(2), pages 236-261, March.
    2. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper Series 4104, Department of Economics, Norwegian University of Science and Technology, revised 01 Jun 2004.
    3. Amisano, Gianni & Fagan, Gabriel, 2013. "Money growth and inflation: A regime switching approach," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 118-145.
    4. Manh Ha Duong & Camille Logeay & Sabine Stephan & Rudolf Zwiener & Serhiy Yahnych, 2005. "Modelling European Business Cycles (EBC Model): A Macroeconometric Model of Germany ; Version March 2005," Data Documentation 5, DIW Berlin, German Institute for Economic Research.
    5. Ulrich Fritsche & Camille Logeay & Kirsten Lommatzsch & Katja Rietzler & Sabine Stephan & Rudolf Zwiener unter Mitarb. von Cansel Kiziltepe & Christian Proano-Acosta, 2005. "Auswirkungen von länderspezifischen Differenzen in der Lohn-, Preisniveau- und Produktivitätsentwicklung auf Wachstum und Beschäftigung in den Ländern des Euroraums: Endbericht ; Forschungsprojekt im ," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, volume 8, number pbk8.
    6. Andrén, Niclas & Oxelheim, Lars, 2002. "Exchange-Rate and Interest-Rate Driven Competitive Advantages in the EMU," Working Paper Series 576, Research Institute of Industrial Economics.
    7. Sabine Stephan, 2006. "German Exports to the Euro Area," Empirical Economics, Springer, vol. 31(4), pages 871-882, November.
    8. Arnold, Ivo J.M. & Roelands, Sebastian, 2010. "The demand for euros," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 674-684, June.
    9. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    10. Bosker, E.M., 2006. "On the aggregation of eurozone data," Economics Letters, Elsevier, vol. 90(2), pages 260-265, February.
    11. E.M. Bosker, 2003. "Eurozone money demand: time series and dynamic panel results," WO Research Memoranda (discontinued) 750, Netherlands Central Bank, Research Department.
    12. Marc-Alexandre Sénégas, 2002. "La politique monétaire face à l'incertitude : un survol méthodologique des contributions relatives à la zone euro," Revue d'Économie Financière, Programme National Persée, vol. 65(1), pages 177-200.
    13. Brand, Claus & Reimers, Hans-Eggert & Seitz, Franz, 2003. "Forecasting real GDP: what role for narrow money?," Working Paper Series 254, European Central Bank.
    14. Hahn, Elke, 2002. "Core inflation in the Euro area: Evidence from the structural VAR approach," CFS Working Paper Series 2001/09, Center for Financial Studies (CFS).
    15. De Grauwe, Paul & Senegas, Marc-Alexandre, 2006. "Monetary policy design and transmission asymmetry in EMU: Does uncertainty matter?," European Journal of Political Economy, Elsevier, vol. 22(4), pages 787-808, December.
    16. Mike Artis & Andreas Beyer, 2004. "Issues in Money Demand: The Case of Europe," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 717-736, November.
    17. Beyer, Andreas & Juselius, Katarina, 2010. "Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area," Working Paper Series 1149, European Central Bank.
    18. Mariano Matilla-Garcia, 2005. "A SVAR model for estimating core inflation in the Euro zone," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 149-154.
    19. Gianni Amisano & Roberta Colavecchio, 2013. "Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR," Macroeconomics and Finance Series 201304, University of Hamburg, Department of Socioeconomics.
    20. Massimiliano Caporin & Domenico Sartore, 2006. "Methodological aspects of time series back-calculation," Working Papers 2006_56, Department of Economics, University of Venice "Ca' Foscari".
    21. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research and International Relations Area.

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