Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach

António Rua and Luis Nunes

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: In the context of a common monetary policy, tracking euro area economic developments becomes essential. The aim of this paper is to build monthly coincident and leading composite indicators for the euro area business cycle. However, instead of looking at the overall comovement between the variables as it is standard in the literature, we show how one can resort to both time and frequency domain analysis to achieve additional insight about their relationship. We find that, in general, the lead/lag properties of economic indicators depend on the cycles periodicity. Following a frequency band approach, we take advantage of this in the construction of the coincident and leading composite indicators. The resulting indicators are analysed and a comparison with other composite indicators proposed in the literature is made.

JEL-codes: C14 C32 E32 (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.bportugal.pt/sites/default/files/anexos/papers/wp200307.pdf

Related works:
Journal Article: Coincident and leading indicators for the euro area: A frequency band approach (2005)
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:ptu:wpaper:w200307

Access Statistics for this paper

More papers in Working Papers from Banco de Portugal, Economics and Research Department Contact information at EDIRC.
Bibliographic data for series maintained by DEE-NTD ().