A Monthly Indicator of the Euro Area GDP

Cecilia Frale, Massimiliano Marcellino, Gian Luigi Mazzi and Tommaso Proietti

No ECO2008/32, Economics Working Papers from European University Institute

Abstract: A continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. This paper proposes a new monthly indicator of the euro area real Gross Domestic Product (GDP), with several original features. First, it considers both the output side (six branches of the NACE classification) and the expenditure side (the main GDP components) and combines the two estimates with optimal weights reflecting their relative precision. Second, the indicator is based on information at both the monthly and quarterly level, modelled with a dynamic factor specification cast in state-space form. Third, since estimation of the multivariate dynamic factor model can be numerically complex, computational efficiency is achieved by implementing univariate filtering and smoothing procedures. Finally, special attention is paid to chain-linking and its implications, via a multistep procedure that exploits the additivity of the volume measures expressed at the prices of the previous year.

Keywords: Temporal Disaggregation; Multivariate State Space Models; Dynamic factor Models; Kalman filter and smoother; Chain-linking (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Working Paper: A Monthly Indicator of the Euro Area GDP (2008)
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