New Eurocoin: Tracking Economic Growth in Real Time
针对带通滤波器在样本末端恶化的问题，提出仅用当期大数据平滑平稳时间序列的方法，并构建了欧元区经济活动实时指标New Eurocoin，能更好估计GDP增长的中长期成分。
Removal of short-run dynamics from a stationary time series to isolate the medium- to long-run component can be obtained by a bandpass filter. However, bandpass filters are infinite moving averages and can therefore deteriorate at the end of the sample. This is a well-known result in the literature isolating the business cycle in integrated series. We show that the same problem arises with our application to stationary time series. In this paper, we develop a method to obtain smoothing of a stationary time series by using only contemporaneous values of a large data set, so that no end-of-sample deterioration occurs. Our method is applied to the construction of New Eurocoin, an indicator of economic activity for the euro area, which is an estimate, in real time, of the medium- to long-run component of GDP growth. As our data set is monthly and most of the series are updated with a short delay, we are able to produce a monthly real-time indicator. As an estimate of the medium- to long-run GDP growth, Eurocoin performs better than the bandpass filter at the end of the sample in terms of both fitting and turning-point signaling.