A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle / / Abdullah Al-Hassan

• Autore: Al-Hassan Abdullah
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Descrizione fisica: 1 online resource (36 p.)
• Soggetto topico: 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
• Soggetto geografico: United States
• 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 coincident indicator. Finally, to obtain a meaningful economic interpretation of the latent factors, their behavior is compared to the observed economic variables.
• Titolo autorizzato: A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle
• ISBN: 1-4623-2248-4; 1-4527-4301-0; 9786612842948; 1-282-84294-3; 1-4518-7220-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788337203321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/073