EUROMIND: a monthly indicator of the euro area economic conditions
EUROMIND: a monthly indicator of the euro area economic conditions
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EUROMIND：欧元区经济状况的月度指标
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
Tommaso Proietti
中科院分区：
文献类型：
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作者：
C. Frale;Massimiliano Marcellino;G. Mazzi;Tommaso Proietti
总结.持续监测经济的演变对于公共和私营决策者的决策至关重要。 该文件提出了EUROMIND，这是一个新的欧元区经济状况月度指标，基于每月跟踪真实的国内生产总值，依靠欧盟统计局Euro‐IND数据库提供的信息。EUROMIND有几个独特的经济和统计特征。首先，它考虑到经济的产出和支出两方面，因为它按支出类型（最终消费、资本形成总额和净出口）提供六个经济活动部门和国内生产总值主要组成部分的每月增加值估计数，并将这些估计数与反映其相对准确性的最佳权重相结合。第二，该指标基于月度和季度信息，采用状态空间形式的动态因素规范建模。第三，由于用混合频率数据估计多变量动态因子模型在数值上可能很复杂，因此通过实施单变量滤波和平滑过程来实现计算效率。最后，特别注意的是链连接及其影响，通过多步骤的程序，利用上一年的价格表示的量的措施的可加性。
Summary. Continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. The paper proposes EUROMIND, which is a new monthly indicator of the euro area economic conditions, based on tracking real gross domestic product monthly, relying on information provided in the Eurostat Euro‐IND database. EUROMIND has several original economic and statistical features. First, it considers both the output and the expenditure sides of the economy, as it provides a monthly estimate of the value added of the six branches of economic activity and of the main gross domestic product components by type of expenditure (final consumption, gross capital formation and net exports), and combines the estimates with optimal weights reflecting their relative precision. Second, the indicator is based on information at both the monthly and the quarterly level, modelled with a dynamic factor specification cast in state space form. Third, since estimation of the multivariate dynamic factor model with mixed frequency data can be numerically complex, computational efficiency is achieved by implementing univariate filtering and smoothing procedures. Finally, special attention is paid to chain linking and its implications, via a multistep procedure that exploits the additivity of the volume measures expressed at the prices of the previous year.