Estimating Business Cycle: from Bandpass Filters to Eurocoin Approach

New Eurocoin (NE) is a synthetic and up-to-date statistics measure of the Euro-Area conjuncture. The target of NE is the medium to long-run component of the Euro Area GDP growth, that is published monthly by the Bank of Italy and CEPR. Estimations of NE are obtained through the generalized dynamic factor model. It is a well-known result in the literature isolating the business cycle in integrated series that band-pass filter could deteriorate at the end of the sample, being less reliable for the most recent data. This is very relevant for economic policy. Altissimo, Cristadoro, Forni, Lippi, Veronese (2008) develop, through New Eurocoin Indicator, a method to obtain smoothing of a stationary time series so as to avoid the occurrence of end-of-sample deterioration and short-run fluctuations. Since New Eurocoin indicator provides a summary index of the medium to long-run component (MLRG) of the GDP solely for the whole Euro area aggregate, the main contribution of this research is to propose some procedures to estimate the following disaggregated components of European GDP: - Sectoral smoothed growths; - MLRG concerning some countries belonging to the Euro Area; - Expenditure components.