Title: Tracking economic growth during the Covid-19: A weekly indicator for Italy
Authors: Simone Emiliozzi - Banca d'Italia (Italy) [presenting]
Davide Delle Monache - Bank of Italy (Italy)
Andrea Nobili - Bank of Italy (Italy)
Abstract: Following the breakout of the COVID-19 pandemic, economic forecasting has become more complex. One way to address these challenges is to exploit the information content of high-frequency variables to construct a synthetic and timely indicator of the business cycle. A weekly economic activity indicator for the US economy has been proposed. We recently developed a preliminary version of an Italian Weekly Economic Index (ITWEI), which was particularly useful for policy analysis in the current circumstances. In its present version, the ITWEI is obtained as the principal component of ten series including genuinely weekly variables as well as monthly indicators to be disaggregated at a weekly frequency. The aim is twofold: (i) to enlarge the set of weekly indicators to exploit more high-frequency information such other payment system data, some financial variables, electronic receipts, sentiment and uncertainty indicators stemming from textual data; (ii) to refine the methodology using a unified state space approach to deal with mixed frequency and missing observations.