An Indicator Measuring Underlying Economic Activity in Greece

Stephen Hall and Nicholas Zonzilos ()

No 4, Working Papers from Bank of Greece

Abstract: 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.

Keywords: Economic Activity; Coincident Indicator; Kalman Filter (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2003-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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