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.
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- Marianne Baxter & Robert G. King, 1999.
"Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series,"
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- Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Research Paper 9124, Federal Reserve Bank of New York.
- 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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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