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Record Nr. |
UNINA9910817194403321 |
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Autore |
Al-Hassan Abdullah |
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Titolo |
A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle / / Abdullah Al-Hassan |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2009 |
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ISBN |
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1-4623-2248-4 |
1-4527-4301-0 |
9786612842948 |
1-282-84294-3 |
1-4518-7220-8 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (36 p.) |
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Collana |
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Disciplina |
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Soggetti |
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Business cycles |
Econometrics |
Foreign Exchange |
Macroeconomics |
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) |
Price Level |
Inflation |
Deflation |
Classification Methods |
Cluster Analysis |
Principal Components |
Factor Models |
Economic growth |
Econometrics & economic statistics |
Currency |
Foreign exchange |
Cyclical indicators |
Consumer prices |
Factor models |
Nominal effective exchange rate |
Prices |
Econometric models |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 coincident indicator. Finally, to obtain a meaningful economic interpretation of the latent factors, their behavior is compared to the observed economic variables. |
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