Extracting GDP signals from the monthly indicator of economic - PowerPoint PPT Presentation

Extracting GDP signals from the monthly indicator of economic activity: Evidence from Chilean real-time data Michael Pedersen Central Bank of Chile 6th colloquium on modern tools for business cycle analysis B A N C O C E N T R A B A N C O C E N T R A L D E C H I L D E C H I L E L E 26-29 September 2010

Source: Central Bank of Chile. 2 MPM IMACEC GDP but not the first GDP release meeting the quarterly IMACEC is available Four times every year, at the time of the MP 05-Mar-08 13-Mar-08 (Jan-08) Q1.08 07-Apr-08 10-Apr-08 (Feb-08) 05-May-08 08-May-08 (Mar-08) 26-May-08 (Q1-08) 10-Jun-08 05-Jun-08 (Apr-08) Q2.08 07-Jul-08 10-Jul-08 (May-08) 05-Aug-08 (Jun-08) 25-Aug-08 14-Aug-08 (Q2-08) 04-Sep-08 04-Sep-08 (Jul-08) Q3.08 06-Oct-08 09-Oct-08 (Aug-08) 05-Nov-08 13-Nov-08 (Sep-08) 24-Nov-08 (Q3-08) 05-Dec-08 11-Dec-08 (Oct-08) Q4.08 05-Jan-09 08-Jan-09 (Nov-08) 05-Feb-09 12-Feb-09 (Dec-08) 23-Mar-09 12-Mar-09 (Q4-08) Q1.09

The presentation 1. Description of data and revisions 2. Signals in quarterly IMACEC vs. first GDP release 3. Signals in monthly IMACEC data 4. Conclusions 3

The monthly indicator of economic activity IMACEC : Indicador Mensual de AC ACtividad EC EConómica. � Classification: Synthetic indicator with an accounting approach � Published (aggregate form) by the Central Bank of Chile since � 1987. Revised on a quarterly basis in order to fit published GDP data. � IMAC IM ACEC: Fi EC: First release rst release (annual change, percentage) 15 10 5 0 87 89 91 93 95 97 99 01 03 05 07 09 -5 -10 Source: Central Bank of Chile. 4

IMACEC and GDP of the current year are revised every quarter and once a year major revisions take place Final GDP data: Has been subject to at least two annual revisions. Period analyzed: 1987-2007. Calend Calendar of GDP revisions, 200 ar of GDP revisions, 2009 Q1 Q2 Q3 Q4 Year 2009 Type of data Estimation 18 May 09 18 Aug. 09 18 Nov. 09 18 Mar. 10 18 Mar. 10 Prelimanary Revision Q1 18 Aug. 09 18 Nov. 09 18 Mar. 10 Revision Q2 18 Nov. 09 18 Mar. 10 Revision Q3 18 Mar. 10 Annual revision 1 18 Mar. 11 18 Mar. 11 18 Mar. 11 18 Mar. 11 18 Mar. 11 Provisory Annual revision 2 19 Mar. 12 19 Mar. 12 19 Mar. 12 19 Mar. 12 19 Mar. 12 Revised Source: Boletín Mensual 82(973), March 2009, Central Bank of Chile. 5

Only GDP data of the current year are revised quarterly A section of the re A section of the real-time GDP databas al-time GDP database (constant prices, million pesos) 2006 2007 2008 May Aug. Nov. Mar. May Aug. Nov. Mar. I/06 11.464.700 11.488.754 11.478.428 14.767.446 14.767.446 14.767.446 14.767.446 14.668.483 II/06 11.668.947 11.657.484 15.128.813 15.128.813 15.128.813 15.128.813 15.189.667 III/06 11.092.285 14.462.037 14.462.037 14.462.037 14.462.037 14.537.983 IV/06 15.230.521 15.230.521 15.230.521 15.230.521 15.352.820 I/07 15.629.265 15.617.348 15.634.239 15.580.886 II/07 16.045.098 16.071.464 16.130.990 III/07 15.057.612 15.110.208 IV/07 15.971.384 Note: The rows contain the published data of the quarter indicated in the first column. The data were published in the issue of the “Boletín Mensual” indicated in the first row. Marked numbers indicate that the data has been revised. The data published in 2006 are in constant 1986- prices; while those published since March 2007 are in 2003-prices. Source: Central Bank of Chile. 6

IMACEC data are revised with the publication of the quarterly GDP A section of the real-time A section of the real-time IMACEC IMACEC database database (constant prices, index) 2006 2007 2008 Mar. Apr . May Jun. Jul. Aug . Sep. Oct. Nov. Dec. Jan. Feb. Mar . Apr. May Jun. Jul. Aug. Sep. Oct. Nov . Dec. Jan. Feb. Mar. 1/06 147.7 147.7 147.2 147.2 147.2 147.1 147.1 147.1 147.0 147.0 147.0 147.0 114.5 114.5 114.5 114.5 114.5 114.5 114.5 114.5 114.5 114.5 114.5 114.5 112.2 2/06 136.9 136.8 136.8 136.8 137.3 137.3 137.3 137.1 137.1 137.1 137.1 107.0 107.0 107.0 107.0 107.0 107.0 107.0 107.0 107.0 107.0 107.0 107.0 106.5 3/06 156.5 156.5 156.5 157.0 157.0 157.0 156.9 156.9 156.9 156.9 124.9 124.9 124.9 124.9 124.9 124.9 124.9 124.9 124.9 124.9 124.9 124.9 125.4 4/06 147.9 147.9 147.8 147.8 147.8 147.8 147.8 147.8 147.8 118.0 118.0 118.0 118.0 118.0 118.0 118.0 118.0 118.0 118.0 118.0 118.0 119.9 5/06 153.0 153.2 153.2 153.2 153.1 153.1 153.1 153.1 121.7 121.7 121.7 121.7 121.7 121.7 121.7 121.7 121.7 121.7 121.7 121.7 122.2 146.9 115.2 115.2 115.2 115.2 115.2 115.2 115.2 115.2 115.2 115.2 115.2 115.2 114.1 6/06 147.3 147.3 147.3 146.9 146.9 146.9 7/06 142.4 142.4 141.6 141.6 141.6 141.6 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 114.6 113.5 113.5 113.5 113.8 8/06 142.6 142.3 142.3 142.3 142.3 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 113.5 9/06 142.2 142.2 142.2 142.2 112.2 112.2 112.2 112.2 112.2 112.2 112.2 112.2 112.2 112.2 112.2 112.2 112.6 10/06 150.2 150.2 150.2 118.3 118.3 118.3 118.3 118.3 118.3 118.3 118.3 118.3 118.3 118.3 118.3 118.5 11/06 148.3 148.3 117.0 117.0 117.0 117.0 117.0 117.0 117.0 117.0 117.0 117.0 117.0 117.0 117.7 12/06 155.4 122.0 122.0 122.0 122.0 122.0 122.0 122.0 122.0 122.0 122.0 122.0 122.0 124.0 1/07 120.6 120.6 120.7 120.7 120.7 120.7 120.7 120.7 120.8 120.8 120.8 120.8 118.7 2/07 113.1 112.7 112.7 112.7 112.6 112.6 112.6 112.8 112.8 112.8 112.8 112.6 3/07 133.2 133.2 133.2 133.1 133.1 133.1 133.1 133.1 133.1 133.1 134.1 4/07 125.8 125.8 126.2 126.2 126.2 126.3 126.3 126.3 126.3 128.6 5/07 127.6 127.9 127.9 127.9 128.1 128.1 128.1 128.1 128.6 6/07 122.3 122.3 122.3 122.6 122.6 122.6 122.6 121.2 7/07 118.1 118.1 118.9 118.9 118.9 118.9 119.9 8/07 118.6 118.7 118.7 118.7 118.7 118.8 9/07 115.6 115.6 115.6 115.6 115.7 10/07 123.4 123.4 123.4 123.5 11/07 122.4 122.4 122.9 12/07 126.6 128.2 Note: The rows contain the published data of the month indicated in the first column. The data were published in the issue of “Avance Estadístico del Boletín Mensual” indicated in the first row. Marked numbers indicate that the data has been revised. Until February 2007 the base year is 1996 and from March 2007 it is 2003. Source: Central Bank of Chile. 7

Annual growth rates are calculated with same vintage data ⎛ ⎞ x τ GDP: Δ = t , − 4 x 100* ⎜ 1 ⎟ ⎜ ⎟ τ t , x ⎝ ⎠ − τ t 4, ⎛ ⎞ 1 ∑ 3 y ⎜ ⎟ τ t , = 3 i 1 i IMACEC : Δ = − 4 y 100* 1 ⎜ ⎟ τ t , 1 ∑ 3 ⎜ ⎟ y − τ t 12, ⎝ ⎠ = 3 i 1 i x t, τ : GDP level quarter t published at time τ y t, τ : IMACEC level quarter t published at time τ y ti, τ : IMACEC level month i of quarter t 8

The revisions between IMACEC and GDP publications do not seem to be systematic Revisions m visions made betwee de between n th the firs e first publica t publicatio ions of of IM IMACEC ACEC and and GD GDP GDP revision GDP re visions: last mi s: last minus first p first publ blication ication (percentage points) (percentage points) 1.5 5 1.0 4 0.5 3 0.0 2 87 89 91 93 95 97 99 01 03 05 07 -0.5 1 -1.0 0 87 89 91 93 95 97 99 01 03 05 07 -1.5 -1 -2.0 -2 -2.5 -3 Note: Solid straight lines indicate averages and the dotted lines are the averages plus / minus two times the standard deviation. Source: Author’s elaboration. 9

The general model allows for up to four lags and an MA representation 4 4 ∑ ∑ Δ = + β Δ + β Δ + ε ε = ρ μ 4 f 4 4 1 x c z x , , − − t 0 t k t k t t j t j = = k 1 j 0 x f : Final GDP x 1 : First released GDP z : Explanatory variable: 1st exercise: First released GDP vs. quarterly IMACEC 2nd exercise: i = 1,2,3 months of IMACEC data for the quarter 10 10