A Coincident Indicator of the Gulf Cooperation Council (Gcc) Business Cycle (Google eBook)
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.
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III Building a GCC Area Database
IV A Coincident Indicator for the GCC Business Cycle
V Degree of Commonality and Cyclical Behavior of the Variables
VI Observed Economic Variables and Latent Factors
Altissimo average Bahrain business cycle evolution business cycle frequencies Central Government Claims on Central Claims on Private common shocks construct Consumer Price Index cross-section Crude Petroleum Production cyclical behavior cyclical component degree of commonality Discrete Fourier Transform Dynamic Factor Model dynamic principal components economic variables effective exchange rates eigenvalues eigenvectors estimate and forecast estimated spectral density Euro area exports final dataset Fomi Foreign Assets Forni GCC area GCC business cycle GCC economies GCC GDP growth Gross Domestic Product Gulf Cooperation Council idiosyncratic component imports interest rates latent factors leading variables Lippi macroeconomic macroeconomic variables measurement errors monetary aggregates Money plus Quasi-Money money supply Nominal Effective Exchange oil prices oil productions Oman orthogonal percent Petroleum Production index policymakers Private Sector Pro-cyclical Coincident procyclical and coincident Real Gross Domestic Reichlin spectral density matrix static factors stationary process statistical Total International Reserves U.S. dollar yield spread