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.
Morana, C. (2021). A new macro-financial condition index for the euro area. ECONOMETRICS AND STATISTICS [10.1016/j.ecosta.2021.09.005].
Citazione: | Morana, C. (2021). A new macro-financial condition index for the euro area. ECONOMETRICS AND STATISTICS [10.1016/j.ecosta.2021.09.005]. | |
Tipo: | Articolo in rivista - Articolo scientifico | |
Carattere della pubblicazione: | Scientifica | |
Presenza di un coautore afferente ad Istituzioni straniere: | No | |
Titolo: | A new macro-financial condition index for the euro area | |
Autori: | Morana, C | |
Autori: | MORANA, CLAUDIO (Corresponding) | |
Data di pubblicazione: | 2021 | |
Lingua: | English | |
Rivista: | ECONOMETRICS AND STATISTICS | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.ecosta.2021.09.005 | |
Appare nelle tipologie: | 01 - Articolo su rivista |