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About a Coincidente Index for the State of the Economy

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  • Fabio H. Nieto
  • Luis Fernando Melo

Abstract

The construction of coincident indexes for the economic activity of a country is a common practice since the fifties. The methodologies vary from heuristic methods to probabilistic or statistical ones. In this paper, we present a new procedure for estimating a coincient index of the state of the economy which is optimum in a statiscal sense. This procedure is based on state space models that do possess the steady-state property.We apply our methodology for computing a coincident index for the Colombian economy.

Suggested Citation

  • Fabio H. Nieto & Luis Fernando Melo, 2001. "About a Coincidente Index for the State of the Economy," Borradores de Economia 194, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:194
    DOI: 10.32468/be.194
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    References listed on IDEAS

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    1. Geweke, John F & Singleton, Kenneth J, 1981. "Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 37-54, February.
    2. Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 59(2), pages 147-220, September.
    3. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    4. María Ripoll & Martha Misas & Enrique López, 1995. "Una Descripción del Ciclo Industrial en Colombia," Borradores de Economia 033, Banco de la Republica de Colombia.
    5. Singleton, Kenneth J, 1980. "A Latent Time Series Model of the Cyclical Behavior of Interest Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 559-575, October.
    6. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
    7. Andrew Harvey & Chia‐Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
    8. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, March.
    9. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
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    Cited by:

    1. Martha Misas A. & Carlos Esteban Posada P & Diego Mauricio Vásquez E, 2003. "¿Está determinado el nivel de precios por las expectativas de dinero y producto en Colombia?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 21(43), pages 8-31, June.
    2. Antonio José Orozco-Gallo & Pavel Vidal-Alejandro & Johana Sanabria-Domínguez & Jaime Andrés Collazos-Rodríguez, 2021. "Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano," Documentos de trabajo sobre Economía Regional y Urbana 298, Banco de la Republica de Colombia.
    3. Pérez-Valbuena, Gerson Javier & Bonet-Morón, Jaime & Ricciulli-Marín, Diana & Barrios, Paula, 2024. "Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19," Coyuntura Económica, Fedesarrollo, vol. 54, pages 83-142, December.
    4. Desirée Castrillo R. & Carlos Mora G. & Carlos Torres G., 2010. "Mecanismos de transmisión de la política monetaria en Costa Rica: periodo 1991-2007," Monetaria, CEMLA, vol. 0(4), pages 549-599, octubre-d.
    5. Marco Antonio Laguna Vargas, 2010. "Características de la inflación importada en Bolivia: ¿puede contenerse con política cambiaria?," Monetaria, CEMLA, vol. 0(4), pages 463-493, octubre-d.
    6. Herman Kamil & José David Pulido & José Luis Torres, 2010. "El "IMACO": un índice mensual de la actividad económica en Colombia," Monetaria, CEMLA, vol. 0(4), pages 495-548, octubre-d.
    7. Enrique A. López-Enciso, 2017. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Borradores de Economia 986, Banco de la Republica de Colombia.

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    Keywords

    State of the economy; Coincidente Index; State Space Models.;
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