Front Matter
  • 1 0000000404811396 Monetary Fund

Front Matter Page

Monetary and Capital Markets Department

Authorized for distribution by Daniel Hardy


  • I. Introduction

  • II. Methodology

    • A. Generalized Dynamic Factor Model

    • B. Estimating Common Components by a One-Sided Filter

  • III. Building a GCC Area Database

  • IV. A Coincident Indicator for the GCC Business Cycle

    • A. Definition of the Coincident Indicator Properties

    • B. Properties of the Coincident Indicator

    • C. The Construction of a Coincident Indicator

  • V. Degree of Commonality and Cyclical Behavior of the Variables

    • A. Degree of Commonality

    • B. Business Cycle: Stylized Facts

  • VI. Observed Economic Variables and Latent Factors

  • VII. Conclusion

  • References

  • Tables

  • 1. The Direction and Timing of Variables Against the Coincident Indicator

  • 2. Testing the Observed Macroeconomic Data Against the Latent Factors

  • Figures

  • 1. Average Dynamic Eigenvalues Over Cross-Sectional Units

  • 2. Percentage of Variance Explained

  • 3. Spectral Density Functions of All Eigenvalues

  • 4. Average of Spectral Density Functions

  • 5. The GCC Coincident Indicator and the GCC Area GDP Growth Rate

  • 6. The GCC Coincident Indicator and the Common Component of National GDP

  • 7. The GCC Coincident Indicator and the Common Component of National GDP

  • Appendix

  • I: Data Set

  • Appendix Tables

  • 1: Data, Degree of Commonality, and Cyclical Behavior

A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle
Author: Abdullah Al-Hassan