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Title A new macro-financial condition index for the euro area
ID_Doc 63803
Authors Morana, C
Title A new macro-financial condition index for the euro area
Year 2024
Published
Abstract A new time-domain decomposition for weakly stationary or trend stationary processes is introduced. The method is based on trigonometric polynomial modeling, and it is explicitly devised to disentangle medium to long-term and short-term fluctuations in macroeconomic and financial series. A multivariate extension involving sequential univariate decompositions and Principal Components Analysis is also provided. Based on this multivariate approach, new composite indexes of macro-financial conditions for the euro area are introduced. The indicators suggest that most of the GDP contraction during the current pandemic has been of short-term, cyclical nature. Moreover, the financial cycle might have currently achieved a peak area. Hence, the risk of further, deeper disruptions is high, particularly as a new sovereign/corporate debt crisis were not eventually avoided.(c) 2021 EcoSta Econometrics and Statistics. Published by Elsevier B.V. All rights reserved.
PDF http://rcea.org/RePEc/pdf/wp21-07.pdf
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