TY - JOUR
T1 - Financial integration and the construction of historical financial data for the Euro Area
AU - Anderson, Heather Margot
AU - Dungey, Mardi
AU - Osborn, Denise
AU - Vahid-Araghi, Farshid
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
U2 - 10.1016/j.econmod.2011.02.027
DO - 10.1016/j.econmod.2011.02.027
M3 - Article
SN - 0264-9993
VL - 28
SP - 1498
EP - 1509
JO - Economic Modelling
JF - Economic Modelling
IS - 4
ER -