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ESTIMATING MULTI-COUNTRY PROSPERTY INDEX: A TWO-DIMENSIONAL SINGULAR SPECTRUM ANALYSIS APPROACH

ZHANG Jiawei1 , HASSANI Hossein2, XIE Haibin3, ZHANG Xun4   

  1. 1.Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences,Beijing 100190, China.;2.The Business School, Bournemouth University, 89 Holdenhurst Road, BH88EB, UK.;3.Research Center of Applied Finance, University of International Business and Economics, Beijing 100029,China.;4.Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences,
    Beijing 100190, China.
  • Received:2012-04-10 Online:2014-02-25 Published:2014-08-20
  • Supported by:

    This research is supported by the National Science Foundation of China under Grant No. 71101142 and Presidential Award of Chinese Academy of Sciences.

ZHANG Jiawei , HASSANI Hossein, XIE Haibin, ZHANG Xun. ESTIMATING MULTI-COUNTRY PROSPERTY INDEX: A TWO-DIMENSIONAL SINGULAR SPECTRUM ANALYSIS APPROACH[J]. Journal of Systems Science and Complexity, 2014, 27(1): 56-74.

With the development of the global economy, interaction among different economic entities from one region is intensifying, which makes it significant to consider such interaction when constructing composite index for each country from one region. Recent advances in signal extraction and time series analysis have made such consideration feasible and practical. Singular spectrum analysis (SSA) is a well-developed technique for time series analysis and proven to be a powerful tool for signal extraction. The present study aims to introduce the usage of the SSA technique for multi-country business cycle analysis. The multivariate SSA (MSSA) is employed to construct a model-based composite index and the two dimensional SSA (2D-SSA) is employed to establish the multi-country composite index. Empirical results performed on Chinese economy demonstrate the accuracy and stability of MSSA-based
composite index, and the 2D-SSA based composite indices for Asian countries confirm the efficiency of the technique in capturing the interaction among different countries.
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