TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda
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1 TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Component Analysis (PCA) that is used widely in the physical and social sciences to extract indicators that capture common fluctuations among variables in large datasets. PCA is a transparent and straightforward procedure that can easily handle a large number of variables and enables one to construct indicators of comove across all variables in a dataset or a subset of them. This procedure is ideal for creating the TIGER indexes as it allows us to combine information from different types of economic variables and multiple countries. Each variable that enters into the PCA is a priori given an equal weight in the calculations. The procedure then assigns different weights to different variables depending on how important they turn out to be in capturing fluctuations in the entire set of variables. PCA is a special case of a more general technique called factor analysis that captures more complicated patterns of lead and lag correlations across the variables it is important to note that PCA picks up only contemporaneous correlations. Dataset Our dataset covers most of the G-20 countries and contains a set of key real, financial and confidence variables. The main constraint in expanding our dataset to cover more variables is the lack of consistent data availability at a high frequency, especially among the emerging markets. For example, it is difficult to get good data on employ levels for the emerging markets. Nevertheless, we have assembled a set of variables on which we were able to get reasonably timely and high-quality data. The countries and variables in our dataset are listed below. Note that composite total indexes include only Advanced Economies and Economies groups. Advanced Economies Economies Euro Periphery -Australia -Argentina -Greece -Canada -Brazil -Italy (Advanced) -France -China -Ireland -Germany -India -Portugal -Italy -Indonesia -Spain (Advanced) -Japan -Mexico -Korea -Russia -Netherlands -South Africa -Spain -Turkey -United Kingdom -United States Economic Indicators Real Activity Indicators Financial Indicators Confidence Indicators -acity - Index -iness Confidence - -Stock italization -Consumer Confidence -s - -Industrial. - -s -TED Spread - - -Manufacturing Orders - -Unemploy
2 By Country: Composite Index iness Confidence, Consumer Confidence, acity,, s, s, Industrial Production,, Manufacturing Orders,, Unemploy, s,, Ted Spread 1, Real Activity Index acity,, s, s, Industrial Production,, Manufacturing Orders,, Unemploy Financial Index s, italization,,, TED Spread, Confidence Index iness Confidence, Consumer Confidence By Indicator Variable: Advanced Economies, Economies, and Total Indexes are found by aggregating directly across country data. We create composite indexes separately for the groups of advanced economies and emerging markets covering all of the above variables. We also create additional indexes for each of these groups based on each category of variables listed below (real, financial, confidence). Finally, we generate country-specific indicators that cover all the variables for a given country and also variable-specific indicators that cover all countries data for a given variable. Description of Data and Source Information: Indicator Variable Unit Description Source iness Confidence Index National confidence indicator OECD Consumer Confidence Index National confidence indicator OECD acity acity utilization rate for industrial sector Haver Analytics; National sources 12-month growth rate of total employ levels IMF International Financial Statistics; National sources s average. Goods. USD IMF Direction of Trade Statistics s average. Goods. USD IMF Direction of Trade Statistics Industrial Production average. Seasonally Adjusted Volumes World Bank, Global Economic Monitor; National sources Quarterly, year-over-year real growth rate. Each month in quarter are equal to quarterly rate IHS Global Manufacturing Orders 12-month growth rate of new manufacturing orders. Seasonally adjusted, local currency or index. Haver Analytics; National sources average. Seasonally adjusted, Volume, Index World Bank, Global Economic Monitor; National sources s 12-month growth rate of share price index in national currency Yahoo Finance; IMF International Financial Statistics Stock italization 12-month growth rate in national currency CEIC Data Company, Ltd. 1 The TED Spread, by construction, is available only as a single variable and is not country-specific. 2
3 12-month growth rate in national currency. Banking claims on private sector IMF International Financial Statistics; Federal Reserve; Bank of Japan Level Basis points over US treasury World Bank, Global Economic Monitor TED Spread Level Difference between 3-month LIBOR and U.S. Treasury, basis Points US Depart of Treasury; Federal Reserve (FRED) Unemploy of labor force as defined by country Official statistics Level Volatility index for national stock markets Bloomberg 3
4 Data Composition of TIGER Indexes The matrix below shows which countries and variables are included across the aggregated TIGER indexes. Orders Unem ploym ent Advanced: Australia x x x x x x x x - - x x x - x - Canada - x x x x x x x x x x x - France x x x x x x x x - x x x x - x - Germany x x x x x x x x x x x x x - x - Italy x x x x x x x x x x - x x - x - Japan x x x x x x x x x x x x x - x - Korea x x - x x x x x - x x x x - x - Netherlands x x x x x x x x - x x x x - x - Spain x x x x x x x x x x x x x - x - UK x x - x x x x x - x x x x - x - US x x x x x x x x x x x x x - x - s: Argentina x x x x - - x x x Brazil x x - x x x x x - x x x x China x x - - x x x x - x x x x India x x x x - - x x x Indonesia x x x x - x x x Mexico x x - x x x x x - x x x x Russia x x x x x - - x x x South Africa x x - x x x x x - x x x x Turkey x x - x x x x x - x x x x
5 Data Availability The table below describes the availability of each variable by country. All data are monthly and begin on January 2005 and end in the specified month of Order Emerg ing Sprea ds Unemploy Advanced: Australia Nov Feb Feb Q4 - - Sep Feb - Feb - 16 Canada - Feb Feb Jan Q4 Jan Sep Feb - France Feb Feb Jan Jan Q4 - Sep Feb Jan - Jan Apr Germany Feb Feb Jan Feb Jan Q4 Jan Sep Mar Jan - Feb Jul Italy Feb Feb Jan Jan Q4 Jan Sep Mar Jan - Feb - Japan Jan Jan Feb Feb Q4 Jan Jan Sep Mar Feb - Feb Apr Korea Feb Feb - Feb Feb Q4 - Sep Mar - Feb Apr Netherlands Feb Feb Jan Q4 - Jan Sep Mar Jan - Feb - Spain Feb Feb Jan Jan Q4 Jan Sep Feb Jan UK Feb Feb - Jan Q4 - Jan Sep Mar Jan - Apr US Feb Feb Feb Feb Feb Q4 Jan Sep Mar Feb - Feb Apr s: Argentina Feb Q4 - - Sep Mar Jan May Brazil Feb Jan - Feb Jan Q4 - Sep Aug Jan May China Jan Jan - - Feb Q4 - Feb Sep Mar Feb May India Aug Jan Q4 - - Sep Mar Sep Indonesia Jan Q4 - Feb Sep Feb Mexico Jan Jan - Sep Jan Q4 - Sep Feb Jan May Russia Feb Feb Q4 - - Sep Nov Oct May South Africa Feb - Jan Q4 - Sep Feb Aug May Turkey Feb Feb - Jan Q4 - Sep Mar Jan May Note: TED Spread data, not country specific, ranges from January 2005 through April
6 Data Availability for Euro Periphery The table below describes the availability of each variable for Greece, Ireland, and Portugal. Availability for Italy and Spain are included in the above Advanced Economy group. All data are monthly and begin on January 2005 and end in the specified month of Order Unem ploym ent Greece Feb Feb - - Ireland - Jan - - Portugal Feb Feb - - Nov Q4 - Jan Q4 - Feb Q4 - Apr Mar Jan - Apr Mar Jan - Feb - Apr Mar Jan - Feb - - Data Composition of Euro Periphery Country Indexes The matrix below shows which countries and variables are included in the country indexes for Greece, Ireland, and Portugal. Italy and Spain are included in the above Advanced Economy group. Orders Unem ploym ent Greece x x - - x x x x - x x x x - x - Ireland - x - - x x x x - x x x x - x - Portugal x x - - x x x x - x x x x - x - 6
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