A new macro-financial condition index for the euro area

Econometrics and Statistics, 2024, vol. 29, issue C, 64-87

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.

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 (search for similar items in EconPapers)
JEL-codes: C22 C38 E32 F44 G01 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S245230622100112X
Full text for ScienceDirect subscribers only. Contains open access articles

Related works:
Working Paper: A new macro-financial condition index for the euro area (2021)
Working Paper: A new macro-financial condition index for the euro area (2021)
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: https://EconPapers.repec.org/RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87

DOI: 10.1016/j.ecosta.2021.09.005

Access Statistics for this article

Econometrics and Statistics is currently edited by E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

More articles in Econometrics and Statistics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().