EconPapers    
Economics at your fingertips  
 

An Indicator of Economic Sentiment for the Italian Economy

Giancarlo Bruno and Marco Malgarini ()

MPRA Paper from University Library of Munich, Germany

Abstract: The long and sustained expansion of the nineties has generated, especially in the US, widespread rumours about the “death of the cycle”. Nevertheless, towards the end of the last decade, it became clear that fluctuations of economic activity were far from being extinct. This has contributed greatly to a renewed interest among economists for the elaboration of statistical indicators capable of tracking and, if possible, anticipating the cyclical features of the economy. The aim of this paper is to build such an aggregate composite indicator for the Italian Economy, based on the ISAE surveys on households and those on the manufacturing, retail and construction sector. The first step of the analysis consists in using a dynamic factor model to extract a “common factor” from the different series of each survey, which may be interpreted as a composite confidence indicator. We then evaluate, for each survey, its in-sample and out-of sample properties, comparing them with those of the usual ISAE-EC Confidence indicators. Finally, we use again the dynamic factor model to build, from the sectoral Composite Indicator (CI), a Composite Aggregate Indicator (CAI) for the Italian economy, and test its ability in tracking the cyclical features of Italian aggregate GDP.

Keywords: Confidence Indicators; Leading Indicators; Cyclical Analysis (search for similar items in EconPapers)
JEL-codes: C42 E32 E37 (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/42331/1/MPRA_paper_42331.pdf original version (application/pdf)

Related works:
Working Paper: An Indicator of Economic Sentiment for the Italian Economy (2002) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42331

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:42331