In this paper coincident and leading economic indicators are analysed and used to construct coincident, leading and recession indexes for the Lithuanian economy by applying Stock and Watson (1989) methodology. Coincident and leading indexes describe the dynamics of the Lithuanian economy fairly...

In recent times, a number of studies have focused on describing and modelling the business cycles of developing countries. However, to date very few of the small economies of the Caribbean have been the subject of this type of empirical application. In this regard, the current paper's...

This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning...

One of the most significant impediments for short-term forecasts is the frequency of publishing GDP. At present, national institutes of statistics are publishing officially registered GDP only quarterly. In our study, we tried to build a composite indicator based on usually monthly data and to...

A fundamental issue for policy-oriented business cycle research is access to leading - or at least coincident - and reliable indicators of economic activity in manufacturing industry. Therefore, we analyse how the quickly disposable, qualitative information of the business tendency survey...

We use the information content in the decisions of the NBER Business cycle Dating Committee to construct coincident and leading indices of economic activity for United States. Specifically, we use canonical correlation analysis to filter out the noisy information contained in the coincident...

This paper constructs and analyzes core inflation indicators for Saudi Arabia for the period of March 2012 to May 2014 using two alternative approaches: the Exclusion Method (ex food and housing/rent) and the Statistical Method. The findings of the analysis suggest that the ex food and...

This study applies to investment funds a novel framework which combines marginal probabilities of distress estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology and the generalized dynamic factor model (GDFM). The...

This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM) supplemented by...

Since the second half of the nineties the euro area has been subject to a considerable accumulation of temporary and idiosyncratic price shocks. Core inflation indicators for the euro area are thus of utmost interest. Based on euro area-wide data core inflation in this paper is analyzed by means...