A real time coincident indicator of the euro area business cycle

Filippo Altissimo, Antonio Bassanetti (), Riccardo Cristadoro, Mario Forni, Marco Lippi, Lucrezia Reichlin and Giovanni Veronese
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Antonio Bassanetti: Bank of Italy, Economic Research Department

No 436, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: 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 �lter 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.

Keywords: business cycle; dynamic factor model (search for similar items in EconPapers)
JEL-codes: C51 E32 O30 (search for similar items in EconPapers)
Date: 2001-12
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Citations: View citations in EconPapers (143)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_436_01

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