A Composite Leading Indicator of the Inflation Cycle for the Euro Area
We evaluate the performance of composite leading indicators of turning points of inflation in the Euro area, constructed by combining the techniques of Fourier analysis and Kalman filters with the National Bureau of Economic Research methodology. In addition, the study compares the empirical performance of Euro Simple Sum and Divisia monetary aggregates and provides a tentative answer to the issue of whether or not the UK should join the Euro area. Our findings suggest that, first, the cyclical pattern of the different composite leading indicators very closely reflect that of the inflation cycle for the Euro area; second, the empirical performance of the Euro Divisia is better than its Simple Sum counterpart and third, the UK is better out of the Euro area.
(This abstract was borrowed from another version of this item.)
|Date of creation:||17 Sep 2004|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.essex.ac.uk/afm/mmf/index.html|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Apostolos Serletis & David Krause, 1996.
"Nominal stylized facts of U. S. business cycles,"
Federal Reserve Bank of St. Louis, issue Jul, pages 49-54.
- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- 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.
- Serletis, Apostolos, 1988. "The Empirical Relationship between Money, Prices, and Income Revisite d," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(3), pages 351-58, July.
- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002.
"The European Business Cycle,"
Economic Working Papers at Centro de Estudios Andaluces
E2002/19, Centro de Estudios Andaluces.
- Elger Thomas & Binner Jane M., 2004. "The UK Household Sector Demand for Risky Money," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-22, March.
- Artis, M J, et al, 1995.
"Predicting Turning Points in the UK Inflation Cycle,"
Royal Economic Society, vol. 105(432), pages 1145-64, September.
- Artis, Michael J, 1994. "Predicting Turning Points in the UK Inflation Cycle," CEPR Discussion Papers 880, C.E.P.R. Discussion Papers.
- Fabio Canova, 1994.
"Does detrending matter for the determination of the reference cycle and the selection of turning points?,"
Economics Working Papers
113, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 1995.
- Canova, Fabio, 1999. "Does Detrending Matter for the Determination of the Reference Cycle and the Selection of Turning Points?," Economic Journal, Royal Economic Society, vol. 109(452), pages 126-50, January.
- A. M. Gazely & J. M. Binner, 2000. "The application of neural networks to the Divisia index debate: evidence from three countries," Applied Economics, Taylor & Francis Journals, vol. 32(12), pages 1607-1615.
- Salvador Barrios & Marius Br¸lhart & Robert J.R. Elliott & Marianne Sensier, 2003.
"A Tale of Two Cycles: Co-Fluctuations Between UK Regions and the Euro Zone,"
University of Manchester, vol. 71(3), pages 265-292, 06.
- Salvador BARROS & Marius BRÜLHART & Robert J.R. ELLIOTT & Marianne SENSIER, 2001. "A Tale of Two Cycles: Co-Fluctuations Between UK Regions and the Euro Zone," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 01.10, Université de Lausanne, Faculté des HEC, DEEP.
- S Barrios & M Brülhart & R Elliott & M Sensier, 2001. "A Tale of Two Cycles: Co-fluctuations Between UK Regions and the Euro Zone," The School of Economics Discussion Paper Series 0101, Economics, The University of Manchester.
- S Barrios & M Brülhart & R J R Elliott & M Sensier, 2002. "A Tale of Two Cycles: Co-fluctuations Between UK Regions and the Euro Zone," Centre for Growth and Business Cycle Research Discussion Paper Series 03, Economics, The Univeristy of Manchester.
- Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
- J. M. Binner & A. Fielding & A. W. Mullineux, 1999. "Divisia money in a composite leading indicator of inflation," Applied Economics, Taylor & Francis Journals, vol. 31(8), pages 1021-1031.
- Drake, L. & Mullineux, A., 1995. "One Divisa Money for Europe?," Discussion Papers 95-04, Department of Economics, University of Birmingham.
- Stracca, Livio, 2001. "Does liquidity matter? Properties of a synthetic divisia monetary aggregate in the euro area," Working Paper Series 0079, European Central Bank.
- Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
- Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, vol. 14(1), pages 11-48, September.
- Rina Bhattacharya & Jane Binner, 1998. "The shocking nature of output fluctuations in some EU countries," Applied Economics, Taylor & Francis Journals, vol. 30(8), pages 1101-1125.
- Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, vol. 1(2), pages 145-149.
- Jane M. Binner & Stuart I. Wattam, 2003. "A new composite leading indicator of inflation for the UK: a Kalman filter approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 5(2), pages 242-264.
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge University Press, number 9780521405737, December.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, December.
- Artis, Michael J & Zhang, Wenda, 1999. "Further Evidence on the International Business Cycle and the ERM: Is There a European Business Cycle?," Oxford Economic Papers, Oxford University Press, vol. 51(1), pages 120-32, January.
When requesting a correction, please mention this item's handle: RePEc:mmf:mmfc04:24. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.