The authors introduce a new index of the business cycle that uses the Mahalanobis distance to measure the statistical similarity of current economic conditions to past episodes of recession and robust growth. Their index has several important features that distinguish it from the Conference...

In this paper, we construct a quality-adjusted rent index for the office market in Oslo. Commonly used rent indices are based on average developments or expert opinions. Such indices often suffer from compositional biases or low data coverage. Using detailed data from more than 16,000 rental...

The aim of this paper is to construct the first comprehensive Financial Stress Index for Lebanon, dubbed the IFEFSI (Institute of Financial Economics Financial Stress Index). This is a broad coincident composite index that includes three different market segments; the banking sector, the...

Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. Another dynamic investment is GMO’s Benchmark...

Empirical studies using micro data find that about two thirds of all product prices do not change in a given quarter. This evidence has been interpreted as indicating the absence of price indexation. Further, models of staggered price setting without indexation interpret all price changes as...