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A Leading Index for the Colombian Economic Activity

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Listed author(s):
  • Luis Fernando Melo

    ()

  • Fabio Nieto

    ()

  • Mario Ramos

Abstract

In this paper,we propose a methodology for calculating a leading index of the economic activity based on a modification of Stock and Watson's (1989, 1991, 1992) approach. We use Kalman filter techniques for estimating the state space representation of the leading index model. The methodology is applied to the Colombian economy and the resulting index leads six months the Melo et al. (2002) coincident index (in semi-annual growt rates). As an intermediate result, we also develop an updating process of the coincident index.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 243.

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Date of creation: May 2003
Handle: RePEc:bdr:borrec:243
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Keywords: Coincident indexes; leading indexes; state space models.;

Other versions of this item:

Find related papers by JEL classification:
  • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
  • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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  1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  2. Fabio H. Nieto, 2003. "Identifiability Of Acoincident Index Model For The Colombian Economy," BORRADORES DE ECONOMIA 002799, BANCO DE LA REPÚBLICA.
  3. Luis Fernando Melo V. & Fabio H. Nieto & Carlos Esteban Posada P. & Yanneth Rocío Betancourt G. & Juan David Barón, 2001. "Un Índice Coincidente para la Actividad Económico de Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 19(40), pages 46-88, Diciembre.
  4. Altissimo, F. & Marchetti, D.J. & Oneto, G.P., 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Papers 377, Banca Italia - Servizio di Studi.
  5. Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle; Coincident and Leading Indicators and Some Stylized Facts," Temi di discussione (Economic working papers) 377, Bank of Italy, Economic Research and International Relations Area.
  6. María Ripoll & Martha Misas & Enrique López, 1995. "Una Descripción del Ciclo Industrial en Colombia," Borradores de Economia 033, Banco de la Republica de Colombia.
  7. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
  8. 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.
  9. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc.
  10. 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.
  11. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
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Cited by:

  1. Herman Kamil & José David Pulido & José Luis Torres, 2010. "El "IMACO": un índice mensual de la actividad económica en Colombia," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 495-548, octubre-d.
  2. Desirée Castrillo R. & Carlos Mora G. & Carlos Torres G., 2010. "Mecanismos de transmisión de la política monetaria en Costa Rica: periodo 1991-2007," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 549-599, octubre-d.
  3. Luis E Arango & Luz Adriana Flórez & Angélica M Arosemena, 2005. "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(125), pages 79-101.
  4. Pavel Vidal Alejandro & Lya Paola Sierra Suárez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodríguez, 2015. "Indicador mensual de actividad económica (IMAE) para el Valle del Cauca," BORRADORES DE ECONOMIA 013610, BANCO DE LA REPÚBLICA.
  5. Juan Carlos Caro & Byron Idrovo, 2010. "Metodología para generar Indicadores de Actividad en Infraestructura y Vivienda," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 47(136), pages 273-303.
  6. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 22(47), pages 126-160, December.
  7. Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2010. "Actualización de la descomposición del BEI cuando se dispone de nueva información," BORRADORES DE ECONOMIA 007333, BANCO DE LA REPÚBLICA.
  8. Marco Antonio Laguna Vargas, 2010. "Características de la inflación importada en Bolivia: ¿puede contenerse con política cambiaria?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 463-493, octubre-d.

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