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2020 | OriginalPaper | Chapter

11. Data, Statistics and Stylized Facts

Author : Daniel Lukui Jia

Published in: Dynamic Macroeconomic Models in Emerging Market Economies

Publisher: Springer Singapore

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Abstract

As the input to empirical analysis, data needs to be carefully collected. In this chapter, we summarize the data samples observed in Brazil, India and China. Time series of both real and financial sectors are collected. Due to data accessibility in BIC, the time frequency of the data set is quarterly. Statistics and stylized facts of the data set are demonstrated in this chapter as well.

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previous chapter Empirical Methodologies and Software Tools

next chapter Empirical Analysis

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Available at: http://www.imf.org/en/data.

Available at: http://www.wind.com.cn/en/edb.html.

Available at: https://insights.ceicdata.com.

Available at: https://www.bloomberg.com/professional/product/market-data.

For more details of Hodrick–Prescott Filter, see the works of Hodrick and Prescott [1], Cogley and Nason [2] and Ravn and Uhlig [3].

In view of the limitation of the length on the exact quantity of mortgage loan in China, Brazil and India, we try to use the data of domestic credit provided by the financial sectors and aggregate banking credit as a proxy. This proximation may affect the accuracy of summarized correlation between the quantity of mortgage loans and other economic variables to a certain degree, as mortgage loans only represents part of total banking credit. But this effect is considered minor.

Hodrick, R. J., & Prescott, E. C. (1997). Postwar US business cycles: An empirical investigation. Journal of Money, Credit, and Banking, 29, 1–16.CrossRef

Cogley, T., & Nason, J. M. (1995). Effects of the Hodrick–Prescott filter on trend and difference stationary time series implications for business cycle research. Journal of Economic Dynamics and Control, 19(1), 253–278.CrossRef

Ravn, M. O., & Uhlig, H. (2002). On adjusting the Hodrick–Prescott filter for the frequency of observations. The Review of Economics and Statistics, 84(2), 371–376.CrossRef

Title: Data, Statistics and Stylized Facts
Author: Daniel Lukui Jia
Publisher: Springer Singapore
Book: Dynamic Macroeconomic Models in Emerging Market Economies
Print ISBN: 978-981-15-4587-0

Electronic ISBN: 978-981-15-4588-7

Copyright Year: 2020
DOI: https://doi.org/10.1007/978-981-15-4588-7_11