Constructing a Composite Leading Indicator of Economic Activity in Greece

Author

Ekaterini Tsouma (etsouma@kepe.gr)

Applied Economics Quarterly (formerly: Konjunkturpolitik), 2016, vol. 62, issue 2, 85-105

Abstract: Given the significance of being able to obtain early insights into the path of total economic activity, the extraction and use of information out of indicators exhibiting leading properties becomes particularly important. In this article, we construct a composite leading indicator of Greek economic activity using selected individual indicators featuring leading properties, including business expectation indices. We apply a dynamic factor model and investigate the growth forecasting ability of the derived leading indicator within a bivariate VAR specification. We use data covering the January 2000-December 2013 period, and hence, take into account the economic recession the Greek economy is still undergoing. The evidence supports the use of both hard and soft indicators for the construction of the composite leading indicator. The latter appears to possess satisfactory leading properties with regard to forecasting growth, as indicated by in-sample and out-of-sample analysis.

Keywords: Composite leading indicator; forecasting; Greece (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.3790/aeq.62.2.85 (application/pdf)
Access to full text is restricted to subscribers (2008 onwards); Pay-per-view access from http://ejournals.duncker-humblot.de/loi/aeq (2008 onwards)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:http://EconPapers.repec.org/RePEc:dah:aeqaeq:v62_y2016_i2_q2_p85-105

Ordering information: This journal article can be ordered from
http://www.duncker-h ... nomicsquarterly.html
verkauf_zeitschriften@duncker-humblot.de

Access Statistics for this article

Applied Economics Quarterly (formerly: Konjunkturpolitik) is currently edited by Ansgar Belke, Christian Dreger and Daniel Gros

More articles in Applied Economics Quarterly (formerly: Konjunkturpolitik) from  Duncker & Humblot GmbH, Berlin
Series data maintained by E-Publishing-Team (elibrary@duncker-humblot.de).

For further details log on website :
http://econpapers.repec.org/article/dahaeqaeq/v62_5fy2016_5fi2_5fq2_5fp85-105.htm