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A real-time measure of business conditions in Malta

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  • Ellul, Reuben

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

  • Ellul, Reuben, 2016. "A real-time measure of business conditions in Malta," MPRA Paper 75057, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:75057
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    References listed on IDEAS

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    1. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario & Altissimo, Filippo & Cristadoro, Riccardo & Veronese, Giovanni & Bassanetti, Antonio, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
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    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

    Keywords

    Nowcasting; business cycle; state space model; dynamic factor model; Malta;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • 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

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