Constructing coincident indices of economic activity for the Latin American economy

Revista Brasileira de Economia

João Victor Issler²  Hilton H. Notini¹  Claudia F. Rodrigues¹  Ana Flávia Soares¹ 

[1] ,FGV EPGE

关键词: Latin America;    Coincident Indicators;    Business Cycles;    Kalman Filter;    State-Space Models;   

DOI  :  10.1590/S0034-71402013000100004

来源: SciELO

【 摘 要 】

This paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board - TCB) of the U.S. economy. We find that the U.S. indicator Granger-causes the Latin American indicator in statistical tests

【 授权许可】

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