A real-time measure of business conditions in Malta

Reuben Ellul Dimech

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Nowcasting; business cycle; state space model; dynamic factor model; Malta (search for similar items in EconPapers)
JEL-codes: C01 E32 E37 (search for similar items in EconPapers)
Date: 2016-09-26
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: A real-time measure of business conditions in Malta (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75057

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