earticle

영어

This paper estimates a new coincident composite index. using a dynamic factor model and mixed frequency data that adds quarterly GDP to the seven monthly time series used by Statistics Korea to calculate the coincident composite index. As you may recall, GDP serves as a proxy for all economic activity in a country, so the information about business conditions contained in this variable is important in measuring monthly economic change. To estimate the coincident composite index, this paper adopts the methodology of Aruoba et al(2009) in their dynamic factor model. We then indirectly evaluate the validity of the index estimated in this study by comparing it with the non-statistical method of the National Bureau of Statistics(NBER method). This paper can be particularly helpful in measuring economic fluctuations in regions where monthly data are often scarce.