Title: A multivariate system of turning points detection for all Euro area countries
Authors: Rosa Ruggeri Cannata - European Commission (Luxembourg) [presenting]
Gian Luigi Mazzi - Independent Expert (Luxembourg)
Monica Billio - University of Venice (Italy)
Abstract: The recent 2008-2009 financial and economic crises, as well as the 2012-2013 recessions, have shown the importance of having an accurate system able to detect, almost in real-time, the occurrence of turning points. At the Euro area level, such a system has been developed by Eurostat in the last years and then extended to the largest Euro area economies. Nevertheless, the increasing idiosyncratic behaviour among the Euro area economies, started around 2008, does not guarantee that concentrating our attention to the euro area as a whole, or to its largest economies, provides a reliable picture of the cyclical situation. For this reason, we have decided to extend our turning points detection system to all Euro area countries starting from the same multivariate Markov-Switching based model. The main problems and challenges encountered when extending our system to all Euro area countries are discussed in details. In particular, we are focusing on data availability problems, on the complexity of properly identifying cyclical movements for small and very open economies, as well as on the short span of available data, at least for some countries.