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A real-time measure of business conditions in Malta

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  • Rueben Ellul

    (Central Bank of Malta)

Abstract

This paper outlines the structure for a high frequency measure of economic activity in Malta, with the ability of identifying turning points and changes in activity in real time. An array of flow and stock data is applied, measured at mixed frequencies. A dynamic factor model then filters the data and constructs a high frequency business conditions index (BCI). The framework is based on a study by Aruoba, Diebold and Scotti (2009). In this paper, their prototype example is extended to include extra monthly variables.

Suggested Citation

  • Rueben Ellul, 2016. "A real-time measure of business conditions in Malta," CBM Working Papers WP/04/2016, Central Bank of Malta.
    • Handle: RePEc:mlt:wpaper:0416
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    File URL: https://www.centralbankmalta.org/file.aspx?f=31462
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    References listed on IDEAS

    as
    1. Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Lucrezia Reichlin & Giovanni Veronese, 2001. "The construction of coincident and leading indicators for the euro area business cycler of the euro area business cycle," Temi di discussione (Economic working papers) 434, Bank of Italy, Economic Research and International Relations Area.
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    7. Roberto S. Mariano & Yasutomo Murasawa, 2010. "A Coincident Index, Common Factors, and Monthly Real GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 27-46, February.
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    10. Elena Angelini & Marta Banbura & Gerhard Rünstler, 2010. "Estimating and forecasting the euro area monthly national accounts from a dynamic factor model," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(1), pages 1-22.
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    Citations

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    as


    Cited by:

    1. Aaron G. Grech, "undated". "The European Commission’s business and consumer surveys and Maltese macroeconomic trends," CBM Policy Papers PP/05/2019, Central Bank of Malta.
    2. Reuben Ellul, "undated". "Timing the Maltese business cycle: A historical perspective," CBM Working Papers WP/01/2021, Central Bank of Malta.
    3. Germano Ruisi, "undated". "Global Oil Price Swings and Shipping Disruptions: Do They Matter for Malta?," CBM Policy Papers PP/07/2022, Central Bank of Malta.

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    More about this item

    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: Models and Applications
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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