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Generalized Diffusion Indexes of Mexican State and Sectorial Economic Activity

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  • Guerrero Santiago
  • Martínez-Ovando Juan Carlos

Abstract

In this research we develop generalized diffusion indexes for the Mexican state and sectorial economic activity. These indexes summarize the dynamics of the local cycles in a way that they are consistent with the aggregate economic activity. The proposed index includes three dimensions of the local dynamic activity: i) the variation of local cycles (positive or negative), ii) the magnitude of these variations and iii) the weight of local components (states and/or sectors) on the aggregate economic activity. The main contribution of these indexes is that they admit sub-aggregations of regions and/or sectors that are more precise and informative than their counterparts. We show two applications. In the first one, we develop the generalized diffusion index for the Mexican economy using state economic coincident indexes. In the second one, we create a diffusion index of the state and sectorial economic activity using the State Quarterly Indicator of Economic activity (ITAEE by its Spanish acronym) produced by INEGI.

Suggested Citation

  • Guerrero Santiago & Martínez-Ovando Juan Carlos, 2014. "Generalized Diffusion Indexes of Mexican State and Sectorial Economic Activity," Working Papers 2014-16, Banco de México.
    • Handle: RePEc:bdm:wpaper:2014-16
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    File URL: https://www.banxico.org.mx/publicaciones-y-prensa/documentos-de-investigacion-del-banco-de-mexico/%7B8451B28A-E6D8-CF85-3F82-0EE0B5B0BA6F%7D.pdf
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    References listed on IDEAS

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    1. Geoffrey H. Moore, 1961. "Introduction to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages -13--1, National Bureau of Economic Research, Inc.
    2. Geoffrey H. Moore, 1961. "Business Cycle Indicators, Volume 1," NBER Books, National Bureau of Economic Research, Inc, number moor61-1.
    3. Geoffrey H. Moore, 1961. "Appendices to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages 669-767, National Bureau of Economic Research, Inc.
    4. Geoffrey H. Moore, 1961. "The Diffusion of Business Cycles," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages 261-281, National Bureau of Economic Research, Inc.
    5. Geoffrey H. Moore, 1961. "Introductory pages to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages -35--15, National Bureau of Economic Research, Inc.
    6. Garcia-Ferrer, Antonio & Bujosa-Brun, Marcos, 2000. "Forecasting OECD industrial turning points using unobserved components models with business survey data," International Journal of Forecasting, Elsevier, vol. 16(2), pages 207-227.
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    Cited by:

    1. Guerrero Santiago & Martínez-Ovando Juan Carlos, 2015. "A note on the diffusion of business cycles," Working Papers 2015-01, Banco de México.

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    More about this item

    Keywords

    Diffusion index; Coincident indexes; Economic cycles; Monitoring;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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