Data compute the Economic Stability Index (ESI)

Published: 21 October 2019| Version 2 | DOI: 10.17632/t834rtvgyx.2
Contributors:
Imran H Shah,
Simon Sosvilla-Rivero

Description

This database is used for manuscript title: Incorporating asset price stability in the ECB's inflation targeting framework. We use quarterly data for the EA covering the 1996:I-2016:II period (a total of 82 quarterly observations). We consider seven variables: food prices, energy prices, other goods and services (non-food and energy, which for brevity we will refer to as “other goods”) prices, house prices, stock prices, all-item prices and output gap. The first three prices (food, energy and others) are categories of the HICP, while house prices refer to analytical house price indicators, a measure of the prices at which dwellings are bought and sold over time. Regarding the stock prices indicator, we use the Euro Stoxx 50 index, which is widely considered as the reference index of the EA. All series are obtained from the Organization for Economic Cooperation and Development data base. Following the common practice with macroeconomic data, the output gap for EA is computed by de-trending actual real GDP using the Hodrick–Prescott (HP) filter (Hodrick and Prescott, 1997). We use the weights of different sectors in the typical consumer’s budget for the EA, which are taken from Eurostat.

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Institutions

University of Bath, Universidad Complutense de Madrid

Categories

Monetary Economics, Monetary Policy, Financial Forecasting, Financial Econometrics, Financial Time Series Analysis, Inflation, Stock Price, Economic Stabilization

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