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Leading or lagging economic indicators are often used to analyse economic or business cycles to analyse whether they are forwards looking or backwards looking respectively.

Below pivot table contains data collected from Eurostat after normalising the raw data to a standard normal variate using Year On Year (YoY) log differences. This normalisation method is considered appropriate to evaluate economic or business cycles given that it forces the time series to be stationary as often hypothesised in econometrics when modelling macro-economic timeseries. A detail description of the calculation can be found in the article Brent Oeyen and Celis Oliver Salazar On probability of default and its relation to observed default frequency and a common factor. The Journal of Credit Risk, 2019.

Use the columns in the grey areas to select the information of interest to you, i.e.

• Var: Consumer Price Index (CPI), Gross Domestic Product (GDP), Unemployment Rate (UR) and House Price Index (HPI)
• Geo: Belgium, France, Netherlands etc.
• Group: Choice different aggregation levels for the economic variables such as New Dwellings for the HPI.
• Value: Value of the macro-economic variable.
• YoY: Transformation of of the value of a macro-economic variable to Year on Year log changes.
• Z: Transformation of YoY differences to a standard normal variate.