This paper extends the methodology for a simultaneous detecting of business and growth cycle, already developed for the euro area, to its major member countries. The best performing indicators for each country are identified through a simulation exercise. An indirect pair of turning point...

The availability of timely and reliable information on main macroeconomic variables is considered both by policy makers and analysts as crucial for an effective process of decision making. Unfortunately official statistics cannot always meet adequately user needs. This is the reason why, using...

This paper analyses alternative constraints in Structural VAR models allowing for the decomposition between permanent and transitory components. Alternative SVAR specifications are then compared in a real-time exercise using the HP filter as a benchmark.

This paper describes the construction of a real-time monitoring system of the euro area economy by complementing official statistics by advanced statistical and econometric techniques. It also shows how it is possible to build up an effective cyclical early warning system for the euro area by...

In this paper we propose two dynamic approaches to measure synchronisation in the Euro area. First of all to be able to take into account dynamics in correlation and possible changes in variability, we consider a multivariate DCC GARCH model. Secondly, we propose to use the set of probabilistic...

This paper shows how official statistics can be combined with nowcasting, high frequency estimates and composite indicators to produce a real-time monitoring and an early warning system of the economic situation in the euro area and its member states. The study presents the results of a...

In this paper we test whether globalisation has affected the relationship between the output gap and inflation in the euro area. Then we investigate how the traditional Phillips Curve relating the inflation and the domestic output gap can be enhanced incorporating globalisation effects. We...

The paper discusses the problem related to seasonal adjustment of euro area short term statistics, with the implications of the availability of member states data at the end of the sample, the alternative strategies to derive the aggregate index and the recommendations of the ESS Guidelines on...

In the paper we introduce a system for statistical detection of turning points in the euro area based on the class of multivariate Markov-switching models. Component series considered in the application are monthly short term statistics released by Eurostat, business and consumer surveys...