Data compute the Economic Stability Index (ESI)

This database is used for manuscript title: Incorporating asset price stability in the ECB's inflation targeting framework. We use quarterly data for the EA covering the 1996:I-2016:II period (a total of 82 quarterly observations). We consider seven variables: food prices, energy prices, other goods and services (non-food and energy, which for brevity we will refer to as “other goods”) prices, house prices, stock prices, all-item prices and output gap. The first three prices (food, energy and others) are categories of the HICP, while house prices refer to analytical house price indicators, a measure of the prices at which dwellings are bought and sold over time. Regarding the stock prices indicator, we use the Euro Stoxx 50 index, which is widely considered as the reference index of the EA. All series are obtained from the Organization for Economic Cooperation and Development data base. Following the common practice with macroeconomic data, the output gap for EA is computed by de-trending actual real GDP using the Hodrick–Prescott (HP) filter (Hodrick and Prescott, 1997). We use the weights of different sectors in the typical consumer’s budget for the EA, which are taken from Eurostat.

本数据库对应研究稿件标题为《将资产价格稳定性纳入欧洲央行（ECB）的通胀目标制框架》。本文采用1996年第一季度至2016年第二季度的欧元区（EA）季度数据，共计82组季度观测值。本研究纳入七类变量：食品价格、能源价格、其他商品与服务价格（非食品非能源类，为行文简便后文简称"其他商品"价格）、住宅价格、股票价格、消费者物价调和指数（HICP）全项目指数与产出缺口。其中前三类价格（食品、能源及其他商品）均为消费者物价调和指数（HICP）的分类分项；住宅价格采用分析类住宅价格指数，该指标用于衡量一段时期内住宅买卖的价格水平。股票价格指标选用欧元斯托克50（Euro Stoxx 50）指数，该指数被广泛视作欧元区的代表性基准股指。所有序列数据均取自经济合作与发展组织（OECD）数据库。遵循宏观经济数据的通用处理惯例，欧元区产出缺口通过霍德里克-普雷斯科特滤波（Hodrick-Prescott filter，HP滤波，Hodrick和Prescott，1997）对实际GDP进行去趋势化运算得到。本研究采用的欧元区典型消费者预算部门权重数据取自欧盟统计局（Eurostat）。