standard of living, then what price index should the account be indexed to? This paper constructs a dynamic price index (DPI …) that answers this question. Unlike the existing theory on price indices (which is static and certain), the DPI measures the … to define this price index and study its theoretical properties. The DPI: is homogeneous of degree 1 with respect to all …

index of money market pressure to identify banking crises. We define banking crises as periods in which there is excessive … desirable, and also possible, to depend on a more objective index of money market pressure rather than market events to identify … the index, changes in central bank funds to bank deposits ratio and changes in short-term real interest rate, are equally …

. To do so we propose a new methodology for the construction of index numbers in panel data sets. Our method is based on an … optimal approach by which we choose the `best' set index numbers by minimizing the expected estimation error subject to some …

Index tracking requires building a portfolio of stocks (a replica) whose behaviour is as close as possible to that of a … given stock index. Typically, much fewer stocks should appear in the replica than in the index, and there should be no low … used methods for index tracking. These are based on the in-sample minimization of a loss function, but do not take into …

small samples. We use our model to construct an index of the state of the economy for the European currency area. Such an … index is defined as the common component of real GDP within a model including several macroeconomic variables for each …