A real-time measure of business conditions in Malta

Reuben Ellul Dimech

No WP/04/2016, CBM Working Papers from Central Bank of Malta

Abstract: This paper outlines the structure for a high frequency measure of economic activity in Malta, with the ability of identifying turning points and changes in activity in real time. An array of flow and stock data is applied, measured at mixed frequencies. A dynamic factor model then filters the data and constructs a high frequency business conditions index (BCI). The framework is based on a study by Aruoba, Diebold and Scotti (2009). In this paper, their prototype example is extended to include extra monthly variables.

JEL-codes: C01 C22 E32 E37 (search for similar items in EconPapers)
Pages: 19 pgs
Date: 2016
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (3)

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https://www.centralbankmalta.org/file.aspx?f=31462 First version, 2016 (application/pdf)

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Working Paper: A real-time measure of business conditions in Malta (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:mlt:wpaper:0416

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