Continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. The paper proposes EUROMIND, which is a new monthly indicator of the euro area economic conditions, based on tracking real gross domestic product monthly, relying on information provided in the Eurostat Euro-IND database. EUROMIND has several original economic and statistical features. First, it considers both the output and the expenditure sides of the economy, as it provides a monthly estimate of the value added of the six branches of economic activity and of the main gross domestic product components by type of expenditure (final consumption, gross capital formation and net exports), and combines the estimates with optimal weights reflecting their relative precision. Second, the indicator is based on information at both the monthly and the quarterly level, modelled with a dynamic factor specification cast in state space form. Third, since estimation of the multivariate dynamic factor model with mixed frequency data 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.

Frale, C., Marcellino, M., Mazzi, G., Proietti, T. (2011). EUROMIND: a monthly indicator of the Euro area economic conditions. JOURNAL OF THE ROYAL STATISTICAL SOCIETY. SERIES A. STATISTICS IN SOCIETY, 174(2), 439-470 [10.1111/j.1467-985X.2010.00675.x].

EUROMIND: a monthly indicator of the Euro area economic conditions

PROIETTI, TOMMASO
2011-01-01

Abstract

Continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. The paper proposes EUROMIND, which is a new monthly indicator of the euro area economic conditions, based on tracking real gross domestic product monthly, relying on information provided in the Eurostat Euro-IND database. EUROMIND has several original economic and statistical features. First, it considers both the output and the expenditure sides of the economy, as it provides a monthly estimate of the value added of the six branches of economic activity and of the main gross domestic product components by type of expenditure (final consumption, gross capital formation and net exports), and combines the estimates with optimal weights reflecting their relative precision. Second, the indicator is based on information at both the monthly and the quarterly level, modelled with a dynamic factor specification cast in state space form. Third, since estimation of the multivariate dynamic factor model with mixed frequency data 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.
2011
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore SECS-S/03 - STATISTICA ECONOMICA
English
Con Impact Factor ISI
chain linking; dynamic factor models; Kalman filter and smoother; multivariate state space models; temporal disaggregation
Frale, C., Marcellino, M., Mazzi, G., Proietti, T. (2011). EUROMIND: a monthly indicator of the Euro area economic conditions. JOURNAL OF THE ROYAL STATISTICAL SOCIETY. SERIES A. STATISTICS IN SOCIETY, 174(2), 439-470 [10.1111/j.1467-985X.2010.00675.x].
Frale, C; Marcellino, M; Mazzi, G; Proietti, T
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/14366
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