Danilo Leiva-León, Gabriel Perez Quiros, Eyno Rots
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We propose an empirical framework to measure the real-time weakness of the global economy. This framework relies on nonlinear factor models to identify recessionary and expansionary episodes, fitted to several macroeconomic variables, for the largest advanced and emerging economies. The country-specific inferences are then combined to construct both a Global Weakness Index and a Global Intensity Index. As new economic data become available from different regions, this information is continually updated to provide high-frequency, real-time insights into (i) the strength of the global economy, (ii) the economic regions supporting this strength, (iii) country-specific and global risk assessments, and (iv) the intensity of recessionary and expansionary episodes.
期刊介绍：
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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