EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries

Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gianluigi

doi:10.1016/j.ijforecast.2014.08.015

Cited by 13 publications

(9 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In addition, our models are instrumental to unveil the current course of fiscal policy in real-time, which complement a different literature, focused on forecasting, that usually treats government expenses as exogenous in macro scenarios because they are considered erratic and difficult to forecast (see e.g. Grassi et al, 2014). 6 A recent literature in the field of short-term forecasting that has shown that the use of high-frequency fiscal data may improve budget forecasting and monitoring.…”

Section: Introductionmentioning

confidence: 91%

“…Exceptions are Baffigi et al (2004), which follow a demand-side approach, Hahn and Skudelny (2008), that follow a supply-side approach, or Foroni and Marcellino (2013), who look at both sides of GDP. In those papers, nevertheless, g and the relevant supplyside counterparts tend to be forecasted by means of univariate methods, or considered to be a residual, exogenous variable difficult to model and forecast, and considered to be erratic (in this latter regard see also Grassi et al, 2014). Another set of papers consider the elaboration of optimal government forecasts with a view to orient the ex-ante design of policies (see, for early contributions, Johansen, 1972, Granger, 1973, Johansen and Hersoug, 1975.…”

Section: Related Literaturementioning

confidence: 99%

See 1 more Smart Citation

Fiscal Targets. A Guide to Forecasters?

2015

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Non-technical summaryUncertainty about government policies has been detrimental to economic growth over the past few years. In fact, policy-induced uncertainty has increased to record levels since the Great Recession. The uncertainty surrounding the timing and composition of fiscal consolidations matters for the success of such consolidation and fundamentally affects medium-term macroeconomic projections and thus policy actions designed in reaction to a given perceived economic situation.The uncertainty about fiscal policies in real-time is closely linked to the credibility of government plans. These plans determine specific tax changes and spending programmes, and as such, shape decisions and actions of economic agents. Nevertheless, the ability of ex-ante In this paper we address the issue of the information content of budgetary plans from a real-time perspective. We adopt the point of view of an agent who wishes to obtain an informed and independent estimate about the future course of fiscal policy during the year. To do so, the agent (econometrician) sets out a model at the quarterly frequency in which all the available information is combined: announced (ex-ante) forward-looking government plans, and high frequency fiscal data on the implementation of current (ongoing) In practical terms, we set out state-of-the-art, mixed-frequencies, time-series factor models that provide a natural framework to integrate announced plans, at the annual frequency, with data on the implementation of the plans, at the quarterly frequency. We take government consumption to be the fiscal variable defining policy in our empirical exercises, and focus on euro area ECB Working Paper 1834, August 2015 2 economies, namely Germany, France, Italy and Spain, as all these countries have been recently subject to fiscal consolidation processes but with different degrees of intensity.Following this approach we show that government targets may convey useful information about ex-post policy developments in certain circumstances, in particular when policy changes significantly, even if the track record of government plan's credibility has been poor, and when there is limited information about the implementation of plans (e.g. at the beginning of a fiscal year). This helps qualifying the above-mentioned, well-established results from a related literature that would advise against paying too much attention to policy targets, given that they are found to disp...

show abstract

Section: Introductionmentioning

confidence: 91%

Section: Related Literaturementioning

confidence: 99%

Fiscal Targets. A Guide to Forecasters?

2015

View full text Add to dashboard Cite

show abstract

“…Koop and Korobilis (2014) also consider an SSM with time-varying parameters. Furthermore, dt and ct could be dierent from zero when there are deterministic components; see, for example, Grassi, Proietti, Frale, Marcellino and Mazzi (2015) and Jungbacker and Koopman (2015), among many others. Most of the procedures described in this paper can be extended to these cases.…”

Section: Kalman Lter and Smoothing Algorithmsmentioning

confidence: 99%

“…For factor extraction, we need to apply the Kalman lter to the low-dimensional series, Y L t ; see Grassi et al (2015) for an empirical application.…”

Section: Kalman Lter and Smoothing Algorithmsmentioning

confidence: 99%

Factor extraction using Kalman filter and smoothing: This is not just another survey

Poncela

Ruiz

Miranda

2021

International Journal of Forecasting

View full text Add to dashboard Cite

Dynamic Factor Models, which assume the existence of a small number of unobserved latent factors that capture the comovements in a system of variables, are the main big data tool used by empirical macroeconomists during the last 30 years. One important tool to extract the factors is based on Kalman lter and smoothing procedures that can cope with missing data, mixed frequency data, time-varying parameters, non-linearities, non-stationarity and many other characteristics often observed in real systems of economic variables. This paper surveys the literature on latent common factors extracted using Kalman lter and smoothing procedures in the context of Dynamic Factor Models. Signal extraction and parameter estimation issues are separately analyzed. Identication issues are also tackled in both stationary and non-stationary models. Finally, empirical applications are surveyed in both cases.

show abstract

“…Most recently, the literature has proposed further methodological developments mainly due to the initiative by Eurostat (see, among others, Frale, Marcellino, Mazzi, & Proietti, , ; Grassi, Proietti, Frale, Marcellino, & Mazzi, ; Moauro, ). At the same time, ISTAT favored a relatively more pragmatic approach.…”

Section: Introductionmentioning

confidence: 99%

Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts

Bisio

Moauro

2018

Statistica Neerlandica

View full text Add to dashboard Cite

In this paper, we discuss the most recent developments in temporal disaggregation techniques carried out at the Istituto Nazionale di Statistica (ISTAT). They concern the extension from static to dynamic autoregressive distributed lag regressions and the adoption of the state-space framework for the statistical treatment of temporal disaggregation. Beyond the development of a unified procedure for both static and dynamic methods from one side and the treatment of the logarithmic transformation from the other, we provide short guidelines for model selection. The inclusion of stochastic trends in the regressions is also discussed. We evaluate the new dynamic methods by implementing a large-scale exercise using the ISTAT annual value added data jointly with quarterly industrial production over the 1995-2013 period. The main finding is that autoregressive distributed lag disaggregations reduce forecast errors in comparison to static variants, at a price of lower correlations with related high-frequency indicators. Moreover, problematic outcomes are limited to few cases.

show abstract

EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries

Cited by 13 publications

References 27 publications

Fiscal Targets. A Guide to Forecasters?

Fiscal Targets. A Guide to Forecasters?

Factor extraction using Kalman filter and smoothing: This is not just another survey

Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts

Contact Info

Product

Resources

About