What Drives Business Cycles in Egypt? An Analysis of Coincident and Leading Indicators

Hegazi Nourhan, Diaa Noureldin and Zaki Chahir R. ()
Additional contact information
Hegazi Nourhan: PhD Student, Cairo University, Giza, Egypt
Zaki Chahir R.: Professor of Economics & Director of the French Section, Department of Economics, Faculty of Economics and Political Science, Cairo University, 11274 Cairo, Egypt

Review of Middle East Economics and Finance, 2023, vol. 19, issue 1, 37-99

Abstract: The paper proposes a chronology for the Egyptian economy by detecting phases of expansions and recessions during the period (2002–2019). It examines the cyclical behavior of variables that are considered potentially useful in measuring or predicting aggregate economic activity. To do so, we combine the National Bureau of Economic Research (NBER) approach together with time series analysis techniques to select the variables best suitable to play the role of coincident and leading indicators. This methodology is found to be the most appropriate when there is no well-established reference chronology as a benchmark for the cyclical analysis, which is the case of Egypt. As a result, two composite indexes are constructed: 1) the composite index of coincident economic indicators (CEI), which can be considered an adequate measure for the Egyptian business cycle; 2) the composite index of leading economic indicators (LEI) that shows good performance in anticipating aggregate economic activity in Egypt. Moreover, the empirical results indicate that total employment, consumption, and investment move coincidently with the reference cycle, while exchange rate and interest rate variables lead the reference cycle and have strong predictive power for economic activity in Egypt.

Keywords: aggregate economic activity; business cycles; coincident indicators; cyclical properties; leading indicators (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/rmeef-2022-0015 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:rmeecf:v:19:y:2023:i:1:p:37-99:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/rmeef/html

DOI: 10.1515/rmeef-2022-0015

Access Statistics for this article

Review of Middle East Economics and Finance is currently edited by Ghassan Dibeh

More articles in Review of Middle East Economics and Finance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().