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Turning-point indicators from business surveys: real-time detection for the euro area and its major member countries

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Author Info
Alberto Baffigi () (Banca d'Italia)
Antonio Bassanetti () (Banca d'Italia)
Abstract

We present tools for real-time detection of turning points in the industrial production growth-cycle of the euro area and its four largest economies. In particular, we apply a multivariate hidden Markov model to national survey results – i.e. to the earliest information about current economic developments - in order to estimate the probability of expansionary and recessionary phases. The balances of opinions used as inputs of the model are selected by ranking them according to their degree of commonality with respect to the cyclical fluctuations of the industrial sector, as estimated with the Generalized Dynamic Factor Model. The indicators appear reliable and stable.

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File URL: http://www.bancaditalia.it/pubblicazioni/econo/temidi/td04/td500_04/td500/tema_500.pdf
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Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 500.

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Date of creation: Jun 2004
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Handle: RePEc:bdi:wptemi:td_500_04

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Web page: http://www.bancaditalia.it
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Related research
Keywords: business cycle; hidden Markov model; business surveys;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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  1. Giuliana Palumbo, 2004. "Optimal Duplication of Effort in Advocacy Systems," Temi di discussione (Economic working papers) 502, Bank of Italy, Economic Research Department. [Downloadable!]
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