A coincident indicator of the Gulf Cooperation Council (GCC) business cycle [[electronic resource] /] / prepared by Abdullah Al-Hassan

• Record Nr.: UNINA9910464073003321
• Autore: Al-Hassan Abdullah
• Pubbl/distr/stampa: [Washington D.C.], : International Monetary Fund, 2009
• ISBN: 1-4623-2248-4; 1-4527-4301-0; 9786612842948; 1-282-84294-3; 1-4518-7220-8
• Descrizione fisica: 1 online resource (36 p.)
• Collana: IMF working paper ; ; WP/09/73
• Soggetti: Business cycles; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Contents; I. Introduction; II. Methodology; A. Generalized Dynamic Factor Model; B. Estimating Common Components by a One-Sided Filter; Figures; 1. Average Dynamic Eigenvalues Over Cross-Sectional Units; 2. Percentage of Variance Explained; III. Building a GCC Area Database; IV. A Coincident Indicator for the GCC Business Cycle; A. Definition of the Coincident Indicator Properties; 3. Spectral Density Functions of All Eigenvalues; 4. Average of Spectral Density Functions; B. Properties of the Coincident Indicator; C. The Construction of a Coincident Indicator; 5. The GCC Coincident Indicator and the GCC Area GDP Growth Rate6. The GCC Coincident Indicator and the Common Component of National GDP; 7. The GCC Coincident Indicator and the Common Component of National GDP; V. Degree of Commonality and Cyclical Behavior of the Variables; A. Degree of Commonality; B. Business Cycle: Stylized Facts; Tables; 1. The Direction and Timing of Variables Against the Coincident Indicator; VI. Observed Economic Variables and Latent Factors; VII. Conclusion; 2. Testing the Observed Macroeconomic Data Against the Latent Factors; Appendix; I: Data Set; Appendix Tables; 1: Data, Degree of Commonality, and Cyclical BehaviorReferences
• Sommario/riassunto: This paper constructs a coincident indicator for the Gulf Cooperation Council (GCC) area business cycle. The resulting coincident indicator provides a reliable measure of the GCC business cycle; over the last decade, the GCC coincident index and the real GDP growth have moved closely together. Since the indicator is constructed using a small number of common factors, the strong correlation between the indicator and real GDP growth points to a high degree of commonality across GCC economies. The timing and direction of movements in macroeconomic variables are characterized with respect to the c