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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
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    3. Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
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    Citations

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    as


    Cited by:

    1. Reuben Ellul, "undated". "Timing the Maltese business cycle: A historical perspective," CBM Working Papers WP/01/2021, Central Bank of Malta.
    2. 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.
    3. 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.

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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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