We examine in this note the impact of COVID-19 on the Spanish tourism sector by using a strong dependence model. Daily data from five equity markets are used and we find that the coronavirus crisis has increased the persistence in the data, moving in some of the series from a mean reverting process to a non-mean reverting one. Thus, shocks that were expected to be transitory have become permanent, implying the need of strong policy measures to come the series back to their long-term projections.
The main aim of this paper is to build a Real Time Leading Economic Indicator (RT-LEI) that improve Composite Leading Indicators (CLI)'s performance to anticipate GDP trends and turning points for the Spanish economy. The indicator has been constructed by means of a Factor Analysis and is composed of 21 variables concerning motor vehicle activity, financial activity, real estate activity, economic sentiment and industrial sector. The data sources used are Google Trends and Thomson Reuters Eikon-Datastream. This work contributes to the literature, studying the dynamics of GDP, CLI and RT-LEI using Fractional Cointegration VAR (FCVAR model) and Continuous Wavelet Transform (CWT) for its resolution. The results show that the model does not present mean reversion and it is expected the RT-LEI reveals a bear trend in the next two years, alike IMF and Consensus FUNCAS' forecasts. The reasons are mostly associated with escalating global protectionism, uncertainty related to Catalonia and a faster monetary policy normalization.
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