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Financial integration and the construction of historical financial data for the Euro Area

Citation

Anderson, HM and Dungey, M and Osborn, DR and Vahid, F, Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling, 28, (4) pp. 1498-1509. ISSN 0264-9993 (2011) [Refereed Article]


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DOI: doi:10.1016/j.econmod.2011.02.027

Abstract

Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based on fixed-weight aggregation across countries with historically distinct monetary policies and financial markets of varying international importance. This paper proposes a new methodology for producing back-dated financial series for the Euro Area, that is based on the time-varying distance of periphery countries from core countries with respect to monetary integration. Historical decompositions of the residuals of vector autoregressive models of the Euro Area economy are then used to explore and compare the monetary policy implications of using the new methodology versus the use of AWM fixed weight series.

Item Details

Item Type:Refereed Article
Keywords:data aggregation, Euro area, monetary integration, financial market indicators, historical decomposition
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, M (Professor Mardi Dungey)
ID Code:70712
Year Published:2011
Web of Science® Times Cited:7
Deposited By:Economics and Finance
Deposited On:2011-07-01
Last Modified:2017-11-22
Downloads:0

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