Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle.
Abdullah. Al-Hassan
Bok Engelsk 2009 · Electronic books.
| Omfang | 1 online resource (36 pages)
|
|---|---|
| Utgave | 1st ed.
|
| Opplysninger | Intro -- Contents -- I. Introduction -- II. Methodology -- A. Generalized Dynamic Factor Model -- B. Estimating Common Components by a One-Sided Filter -- III. Building a GCC Area Database -- IV. A Coincident Indicator for the GCC Business Cycle -- A. Definition of the Coincident Indicator Properties -- B. Properties of the Coincident Indicator -- C. The Construction of a Coincident Indicator -- V. Degree of Commonality and Cyclical Behavior of the Variables -- A. Degree of Commonality -- B. Business Cycle: Stylized Facts -- VI. Observed Economic Variables and Latent Factors -- VII. Conclusion -- References -- Tables -- 1. The Direction and Timing of Variables Against the Coincident Indicator -- 2. Testing the Observed Macroeconomic Data Against the Latent Factors -- Figures -- 1. Average Dynamic Eigenvalues Over Cross-Sectional Units -- 2. Percentage of Variance Explained -- 3. Spectral Density Functions of All Eigenvalues -- 4. Average of Spectral Density Functions -- 5. The GCC Coincident Indicator and the GCC Area GDP Growth Rate -- 6. The GCC Coincident Indicator and the Common Component of National GDP -- 7. The GCC Coincident Indicator and the Common Component of National GDP -- Appendix -- I: Data Set -- Appendix Tables -- 1: Data, Degree of Commonality, and Cyclical Behavior.. - 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.
|
| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781451916553
|
| ISBN(galt) |
