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Dissertation Workshop

A New Macro-Financial Condition Index for the Euro Area


October 1, 2021
12:00pm - 1:15pm
Virtual/RSVP Required

Dissertation Workshop

A New Macro-Financial Condition Index for the Euro Area


October 1, 2021
12:00pm - 1:15pm
Virtual/RSVP Required
October 1, 2021
12:00pm - 1:15pm
Virtual/RSVP Required

The Dissertation Workshop is a graduate educational seminar open only to graduate students, their advisors, and visiting scholars. The Minda de Gunzburg Center for European Studies (CES) invites graduate students and visiting scholars who are interested in attending this workshop or in presenting their research, to contact CES Dissertation Workshop Coordinator Hansong Li. All workshops will be held virtually during the 2021-2022 academic year. Registered participants will receive a Zoom link for the workshop one day in advance.

About

Claudio Morana will present a working paper introducing a new time-domain decomposition for weakly stationary or trend stationary processes, based on trigonometric polynomial modeling of the underlying component of an economic time series.

A new time-domain decomposition for weakly stationary or trend stationary processes is introduced. The method is based on trigonometric polynomial modeling, and it is explicitly devised to disentangle medium to long-term and short-term fluctuations in macroeconomic and financial series. A multivariate extension involving sequential univariate decompositions and Principal Components Analysis is also provided. Based on this multivariate approach, new composite indexes of macro-financial conditions for the euro area are introduced. The indicators suggest that most of the GDP contraction during the current pandemic has been of short- term, cyclical nature. Moreover, the financial cycle might have currently achieved a peak area. Hence, the risk of further, deeper disruptions is high, particularly as a new sovereign/corporate debt crisis were not eventually avoided.

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