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dc.contributor.authorMonge Moreno, Manuel 
dc.contributor.authorPoza Lara, Carlos
dc.description.abstractThe main aim of this paper is to build a Real Time Leading Economic Indicator (RT-LEI) that improves Composite Leading Indicators (CLI)’s performance to anticipate GDP trends and turning points for the Spanish economy. The indicator has been constructed using a Factor Analysis and is composed of 21 variables concerning motor vehicle activity, financial activity, real estate activity, economic sentiment, and industrial sector. The data sources used are Google Trends and Thomson Reuters Eikon-Datastream. This work contributes to the literature, studying the dynamics of GDP, CLI and RT-LEI using Fractional Cointegration VAR (FCVAR model) and Continuous Wavelet Transform (CWT) for its resolution. The results show that the model does not present mean reversion and it is expected the RT-LEI reveals a bear trend in the next two years, alike IMF and Consensus FUNCAS′ forecasts. The reasons are mostly associated with escalating global protectionism, uncertainty related to Catalonia and faster monetary policy
dc.publisherInternational Economicsspa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.subjectLeading economic indicatorsspa
dc.subjectBusiness cyclespa
dc.subjectGoogle trendsspa
dc.subjectFractional cointegrationspa
dc.subjectWavelet analysisspa
dc.titleA real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform
dc.description.extent990 KBspa

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Atribución-NoComercial-SinDerivadas 3.0 España
Except where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 3.0 España