The Italian Business Cycle; Coincident and Leading Indicators and Some Stylized Facts
AbstractThis paper analyses the business cycle properties of 183 time series relevant to the Italian economy, including real, monetary and international variables. We propose new monthly coincident and leading composite indicators for the Italian business cycle; the leading indicator anticipates the turning points of the coincident indicator on average by six months. On the methodological side, the study provides a scheme for constructing cyclical indicators on a sound statistical basis through iterative steps, combining the use of traditional NBER methods with that of more recent techniques of cyclical analysis. A number of stylized facts of the Italian business cycle emerge. Among them, money and financial variables are found to lead the cycle, chronologically, by an average of between one year and sixteen months. There is also strong evidence of synchronization of international cycles, with the US and UK cycles leading the Italian cycle by two to three quarters. The main linking channel seems to be trade, with Italian exports to EU countries leading the cycle by six months on average.
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Bibliographic InfoPaper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 377.
Date of creation: Oct 2000
Date of revision:
business cycles; cyclical indicators; leading indicators; Italian stylized fact;
Find related papers by JEL classification:
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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