Autori
Lippi, Marco
Forni, Mario
Altissimo, Filippo
Bassanetti, Antonio
Cristadoro, Riccardo
Reichlin, Lucrezia

Titolo
A real time coincident indicator of the euro area business cycle.
Periodico
Banca d'Italia. Temi di discussione
Anno: 2001 - Volume: 12 - Fascicolo: 436 - Pagina iniziale: 1

This paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. The index is estimated on the basis of a harmonized data set of monthly statistics of the euro area (951 series) which we constructed from a variety of sources. We use the information of this large panel to obtain an indicator which has three characteristics: (i) it provides real time information on monthly coincident activity since it is updated as new information become available in a non-synchronous way; (ii) it is cleaned from noise originated from measurement error and idiosyncratic national and sectoral dynamics; (iii) it is cleaned from seasonal and short-run dynamics through a filter that requires very little revision at the end of the sample. Unlike other methods used in the literature, the procedure takes into consideration the cross-country as well as the within-country correlation structure and exploits all information on dynamic cross-correlations. As a byproduct of our analysis, we provide a characterization of the commonality and dynamic relations of the series in the data set with respect to the coincident indicator and a dating of the euro area cycle.



Testo completo: http://www.bancaditalia.it/pubblicazioni/temidi/td436/tema_436_01.pdf

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