Trimmed Indexes as Measures of Trend Imacec

Fabián Gredig U.

Journal Economía Chilena (The Chilean Economy), 2007, vol. 10, issue 1, 51-70

Abstract: The aim of this work is to elaborate a variety of indexes of economic activity tendency from the original disaggregated series that compose the monthly index of economic activity, Imacec. Following similar statistical techniques to the ones used to elaborate core inflation series, it is hoped that the treatment of the information in the economic sector series will be useful to create easy to understand and calculate in real time indexes that allow opportune evaluation of trend economic activity, according to the ex post Imacec releases. Monitoring the smoothed indexes that exclude the five most volatile sectors of the general index, the one that excludes the extreme 5 percent of the monthly variations, and the one associated to the first principal component of the 12-month variation of the disaggregated sectors may be useful to diagnose the actual impulse of economic activity. Each of these indexes has better performance than the alternative benchmark series and has relevant information about the future path of the actual Imacec.

Date: 2007
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