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An Indicator Measuring Underlying Economic Activity in Greece

  • Stephen G. Hall

    (Imperial College Management School)

  • Nicholas G. Zonzilos

    ()

    (Bank of Greece, Economic Research Department)

Using a state space formulation developed by Stock and Watson and Garratt and Hall we construct an indicator, which then is interpreted as a measure of the underlying economic activity of the Greek economy. The chief novelty of the paper is that the underlying model is calibrated, rather than estimated, using sample information. Our approach is more flexible than the original one, in that it provides the possibility to cope with outlying observations and to evaluate particular shocks affecting the economy using judgmental interventions. The new indicator could be very helpful for short run policy analysis signalling emerging economic problems.

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File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200304.pdf
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Paper provided by Bank of Greece in its series Working Papers with number 04.

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Length: 26 pages
Date of creation: Aug 2003
Date of revision:
Handle: RePEc:bog:wpaper:04
Contact details of provider: Web page: http://www.bankofgreece.gr

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  1. Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Mario Forni & Marco Lippi & Lucrezia Reichlin & Giovanni Veronese, 2001. "A real time coincident indicator of the euro area business cycle," Temi di discussione (Economic working papers) 436, Bank of Italy, Economic Research and International Relations Area.
  2. Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
  3. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers 2400, C.E.P.R. Discussion Papers.
  4. Garratt, Anthony & Hall, Stephen G, 1996. "Measuring Underlying Economic Activity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 135-51, March-Apr.
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