Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210817 
Authors: 
Year of Publication: 
2016
Series/Report no.: 
CBM Working Papers No. WP/04/2016
Publisher: 
Central Bank of Malta, Valletta
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.
JEL: 
E32
E37
C01
C22
Document Type: 
Working Paper

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