EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

40 Pages Posted: 3 Oct 2013

See all articles by Cecilia Frale

Cecilia Frale

Government of the Italian Republic (Italy) - Department of the Treasury

Stefano Grassi

Aarhus University - CREATES

Massimiliano Giuseppe Marcellino

European University Institute; European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS); Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Gian Luigi Mazzi

Eurostat

Tommaso Proietti

University of Rome II - Department of Economics and Finance

Date Written: October 1, 2013

Abstract

The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic product at chained volumes, the most important measure of the level of economic activity. Representativeness is achieved by entertaining a very large number of (timely) time series on monthly indicators relating to the level of economic activity, providing a more or less complete coverage. The indicators are modeled with a large scale parametric factor model. We discuss its specification and provide details on the statistical treatment. Computational efficiency is crucial to estimate a large scale parametric factor model of the dimension considered in our application (considering about 170 series). To achieve it we apply state of the art state space methods that can handle temporal aggregation, and any pattern of missing values.

Keywords: Index of coincident indicators, Temporal Disaggregation, Multivariate State Space Models, Dynamic factor Models, Quarterly National accounts

JEL Classification: E32, E37, C53

Suggested Citation

Frale, Cecilia and Grassi, Stefano and Marcellino, Massimiliano and Mazzi, Gian Luigi and Proietti, Tommaso, EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries (October 1, 2013). CEIS Working Paper No. 287. Available at SSRN: https://ssrn.com/abstract=2334364 or http://dx.doi.org/10.2139/ssrn.2334364

Cecilia Frale

Government of the Italian Republic (Italy) - Department of the Treasury ( email )

Via XX Settembre, 87
Rome, 00197
Italy

Stefano Grassi

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Massimiliano Marcellino

European University Institute ( email )

Villa Schifanoia
133 via Bocaccio
Firenze (Florence), Tuscany 50014
Italy

European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) ( email )

Villa La Fonte, via delle Fontanelle 18
50016 San Domenico di Fiesole
Florence, Florence 50014
Italy

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Gian Luigi Mazzi

Eurostat ( email )

JMO Building Bech A2/44
Luxembourg, L-2920
Luxembourg

Tommaso Proietti (Contact Author)

University of Rome II - Department of Economics and Finance ( email )

Via Columbia, 2
Rome, 00133
Italy

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