Coincident, leading and recession indexes for the Lithuanian economy

Abstract

In this paper coincident and leading economic indicators are analysed and used to construct coincident, leading and recession indexes for the Lithuanian economy by applying Stock and Watson (1989) methodology. Coincident and leading indexes describe the dynamics of the Lithuanian economy fairly well. The recession index accurately predicts periods of economic contraction.

Keywords:

• Recession
• Coincident and Leading Indicators
• Stock and Watson method
• Kalman Filter

JEL classification:

• C43
• E32
• C10