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EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle

Author

Listed:
  • Lippi, Marco
  • Reichlin, Lucrezia
  • Hallin, Marc
  • Forni, Mario
  • Altissimo, Filippo
  • Cristadoro, Riccardo
  • Veronese, Giovanni
  • Bassanetti, Antonio

Abstract

This Paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. The index is estimated on the basis of a harmonized data set of monthly statistics of the euro area (951 series) which we constructed from a variety of sources. We use the information of this large panel to obtain an indicator which has three characteristics: (i) it provides real time information on monthly coincident activity since it is updated as new information become available in a non-synchronous way; (ii) it is cleaned from noise originated from measurement error and idiosyncratic national and sectoral dynamics; (iii) it is cleaned from seasonal and short-run dynamics through a filter that requires very little revision at the end of the sample. Unlike other methods used in the literature, the procedure takes into consideration the cross-country as well as the within-country correlation structure and exploits all information on dynamic cross-correlations. As a by product of our analysis, we provide a characterization of the commonality and dynamic relations of the series in the data set with respect to the coincident indicator and a dating of the euro area cycle.

Suggested Citation

  • Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario & Altissimo, Filippo & Cristadoro, Riccardo & Veronese, Giovanni & Bassanetti, Antonio, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:3108
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    More about this item

    Keywords

    Business cycle; Dynamic factor model;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O30 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - General

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