| 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 |
|
| DOI |
10.1016/j.ecosta.2021.09.005 |
| 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. |
| Author Keywords |
trend -cycle decomposition; COVID-19 pandemic; EU Green Deal; subprime financial crisis; sovereign debt crisis; dot-com bubble; macroeconomic and financial conditions; index; euro area |
| Index Keywords |
Index Keywords |
| Document Type |
Other |
| Open Access |
Open Access |
| Source |
Emerging Sources Citation Index (ESCI) |
| EID |
WOS:001143441700001 |
| WoS Category |
Economics; Statistics & Probability |
| Research Area |
Business & Economics; Mathematics |
| PDF |
http://rcea.org/RePEc/pdf/wp21-07.pdf
|