The relationship between the PMI and the Italian index of industrial production and the impact of the latest economic crisis
Survey data attract considerable interest as timely and reliable series for assessing the state of the economy. We investigate the relationship between the manufacturing PMI and the Index of Industrial Production (IPI) for Italy, with a special focus on the effects of the latest crisis. The manufacturing PMI tracks a medium-to-long run component of the IPI quarterly growth rate, which is estimated by a one-sided multivariate Wavelet filter. This filter provides more efficient estimates at the end of the sample than the Baxter and King method. Furthermore, the Wavelet basis allows us to take into account the time-varying oscillations of a series caused by the large negative shocks characterizing the latest global crisis, while the non-parametric framework does not force us to conclude definitely for the occurrence of structural breaks not yet testable rigorously.
|Date of creation:||Sep 2011|
|Date of revision:|
|Contact details of provider:|| Postal: Via Nazionale, 91 - 00184 Roma|
Web page: http://www.bancaditalia.it
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Mario Forni & Marco Lippi & Lucrezia Reichlin & Giovanni Veronese, 2001. "A real time coincident indicator of the euro area business cycle," Temi di discussione (Economic working papers) 436, Bank of Italy, Economic Research and International Relations Area.
- Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 61-69.
- Li, Baibing & Martin, Elaine B. & Morris, A. Julian, 2002. "On principal component analysis in L1," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 471-474, September.
- Aminghafari, Mina & Cheze, Nathalie & Poggi, Jean-Michel, 2006. "Multivariate denoising using wavelets and principal component analysis," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2381-2398, May.
- Evan F. Koenig, 2002. "Using the Purchasing Managers' Index to assess the economy's strength and the likely direction of monetary policy," Economic and Financial Policy Review, Federal Reserve Bank of Dallas.
- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Research Paper 9124, Federal Reserve Bank of New York.
When requesting a correction, please mention this item's handle: RePEc:bdi:wptemi:td_820_11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.