A statistical overview of the economic situation in the euro area

Transcription

1 A statistical overview of the economic situation in the euro area By Gian Luigi Mazzi Florence, 24 April 2015 EUI-nomics 2015

2 Outline Latest PEEIs figures GDP growth estimates for the first quarter 2015 Euro area institutional forecast Euro area cyclical monitoring Macro-economic imbalances procedure

3 Latest PEEIs figures Introductory remarks PEEIs: a tool for short-term economic monitoring based on official statistics Picture for the euro area still very incomplete for 2015 few monthly data no quarterly data Updated picture for the euro area - combining official statistics and econometric techniques

4 Latest PEEIs figures 2013q3 2013q4 2014q1 2014q2 2014q3 2014q4 GDP % (Q/Q-1) % (Q/Q-4) Employment % (Q/Q-1) % (Q/Q-4) m m m m1 2015m2 2015m3 HICP % (M/M-1) % (M/M-12) PPI % (M/M-1) : % (M/M-12) : Import price % (M/M-1) : % (M/M-12) : IPI % (M/M-1) : % (M/M-12) : Retail trade % (M/M-1) : % (M/M-12) : Unemployment rate % : ESI Index

5 Latest PEEIs figures: some comments Constant deceleration of the deflation process Slow but quite regular decrease of the unemployment rate at 11.3% in February Very uncertain path of Industrial Production Index and Retail trade Progressive acceleration of the GDP growth but still quite moderate Improvement of the economic sentiment indicator above 100% especially in the first 3 months of 2015

6 GDP growth estimates for the first quarter 2015 estimates for the Euro area GDP growth based on 4 competing models Small-scale factor model with soft data only Small-scale factor model with hard and soft data Bridge model with hard and soft data Indirect estimates based on VECM models for largest individual Euro area economies Comparative analysis with some external leading indicators freely available Euroframe EuroCoin IRC

7 GDP growth estimates for the first quarter 2015 (Euro area) factor model (soft data) factor model (hard and soft data) Bridge model (hard and soft data) 0.35% 0.50% 0.47% Indirect model 0.54% Euroframe 0.43% EuroCoin 0.22% IRC 0.30%

8 GDP growth estimates for the first quarter 2015 (Member states) Germany 0.76% France 0.27% Italy 0.10% Spain 0.98% Netherlands 0.54% Belgium 0.38%

9 GDP growth estimates for the first quarter 2015: some comments Good consensus among the indicators Only Eurocoin and IRC produce less optimistic estimates models show a very small range of variation from 0.35% to 0.54% The GDP growth for the first quarter should be likely between 0.4% and 0.5% GDP growth estimates for Member states based on VECM models Strong acceleration for Germany and Spain Moderated growth in France and in Italy

10 Euro area institutional forecast Main sources European Commission: Winter 2015 forecast OECD: Economic outlook Annex tables ECB: March 2015 ECB staff macro-economic projections for the euro area IMF: WEO update April 2015

11 Euro area institutional forecast Year DG ECFIN OECD ECB IMF GDP HICP Unemployment Deficit Current account (%GDP)

12 Euro area institutional forecast: some comments Quite good consensus among institutional forecasts Some differences also due to the different timing of the forecast publication No deflationary risk but persistency of a very low inflation Constant increase of GDP growth Progressive reduction of unemployment rate

13 Euro area cyclical monitoring Euro area dating: business, growth, and acceleration cycle non-parametric dating rule Euro area system for turning point detection: three coincident indicators BCCI: Business Cycle Coincident Indicator GCCI: Growth Cycle Coincident Indicator ACCI: Acceleration Cycle Coincident Indicator ACCI: recession probability returned by the Markov switching model fitted to the Economic Sentiment Indicator

14 Euro area cyclical monitoring MS-VAR GCCI and MS-VAR BCCI MSIH(4) VAR(0) model fitted on 4 variables 1) Industrial Production Index (differenced over 6 months) 2) Unemployment Rate (inverted diff. over 1 month) 3) New Passenger Car Registrations (diff. over 3 months) 4) Employment Expectations (diff. over 1 month) Both indicators jointly obtained as a by-product of model parameters estimation: MS-VAR BCCI filtered probabilities of the first regime of the state-variable (regimes of the latent Markov-chain are sorted in ascending order of the state-dependent intercept); MS-VAR GCCI sum of filtered probabilities of the first and second regimes.

15 Euro area cyclical monitoring ACCI

16 Euro area cyclical monitoring MS-VAR BCCI

17 Euro area cyclical monitoring MS-VAR GCCI

18 Economic Cycle Coincident indicator Provisional Dating of the Acceleration Cycle Acceleration ACCI June 2006 March Cycle 2009 Peak Trough Peak Trough Peak Trough 2006 Q Q Q Q4* - - October 2009 October 2012 Decemb er 2013 January 2015 Provisional Dating of the Growth Cycle Growth Cycle MS-VAR GCCI Indirect MS- VAR GCCI Provisional dating of the Business Cycle Classical MS-VAR Business Cycle BCCI Indirect MS- VAR BCCI 2008 Q Q Q Q2* - - December 2007 November 2007 September 2009 July 2009 May 2011 July April 2013 August 2014* 2008 Q Q Q Q1 - - April 2008 September July May June 2008 June

19 Euro area cyclical monitoring Member countries extension Non-parametric chronologies for BCCI and GCCI in progress for member states Already available for 11 countries Coincident turning point indicators for growth cycle and business cycle for member states in progress Based on MS-VAR only Already available for 7 countries Full coverage of the euro area expected by end of 2015

20 Euro area cyclical monitoring Models summary by country Variables (differentiation order) Country Model Recessions Slowdowns IPI UR BUI L IN D CON S RET A Belgium MSI(4)-VAR(0) R1 R1+R France MSIH(4)-VAR(0) R1 R1+R Germany MSIH(4)-VAR(0) R1 R1+R Italy MSIH(5)-VAR(0) R1 R1+R Netherlands MSIH(4)-VAR(0) R1 R1+R Portugal MSI(5)-VAR(0) R1+R2 R1+R2+R Spain MSIH(4)-VAR(0) R1 R1+R

21 Peak Trough Peak Trough Peak Trough Peak Trough Peak Trough Peak Trough Germany France Italy Spain the Netherlands Belgium Portugal Growth Cycle 04/01 08/03 02/04 05/05 05/08 07/ 09 10/11 03/13 Business Cycle 11/ 02 04/03 11/08 06/09 Growth Cycle 11/00 08/03 09/07 08/09 08/11 08/13 Business Cycle 07/08 05/09 Growth Cycle 10/01 08/03 12/07 06/09 07/11 05/13 Business Cycle 01/03 05/03 12/07 04/09 08/11 04/13 Growth Cycle 04/01 10/03 09/07 11/09 07/10 08/13 Business Cycle 02/ 08 11/09 07/11 04/13 Growth Cycle 02/01 10/03 06/08 12/09 03/11 02/13 Business Cycle 10/08 12/09 03/11 10/11 Growth Cycle 08/00 08/03 02/05 09/05 09/07 09/09 05/11 Business Cycle 10/01 12/01 09/08 04/09 05/12 06/12 Growth Cycle 07/98 05/03 10/04 09/05 01/06 07/06 07/07 05/09 07/10 07/13 Business Cycle 06/02 05/03 07/05 09/05 06/08 05/09 10/10 03/12

22 Peak Trough Peak Trough Peak Trough Peak Trough Peak Trough Peak Trough Finland Austria Greece Ireland Growth Cycle Business Cycle Growth Cycle Business Cycle Growth Cycle Business Cycle Growth Cycle Business Cycle 2000 Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q2

23 Euro area cyclical monitoring: some comments Since beginning of 2013, euro area and the majority of member states went out from the recession and slowdown phases In the period , Germany, France and Austria experienced only a slowdown phase of the growth cycle but not a recessionary phase of the business cycle Finland didn't reach yet a trough for the business cycle and the growth cycle Belgium didn't reach yet a trough for the growth cycle

24 Euro area cyclical monitoring: some comments (cont.) With the global financial and economic crisis synchronisation across euro area member countries started to decrease Currently, member countries turning points are neither well synchronised nor well diffused Tricky situation since an optimal currency area requires a high degree of synchronisation across its members

25 Scoreboard flashing indicators MS Flashing indicators IDR results MS Flashing indicators FI 3 CY 6 Macroeconomic adjustment EL 5 programme SE 3 BG 4 UK 3 FR 4 RO 1 HR 4 Excessive imbalances, which require specific monitoring and decisive policy EE 4 PT 4 action AT 3 IT 3 DK 3 IE 6 LU 3 Imbalances, which require specific ES 5 monitoring and decisive policy action LV 3 SI 3 MT 3 HU 4 Imbalances, which require monitoring CZ 2 DE 3 and decisive policy action LT 2 NL 4 Imbalances, which require monitoring PL 2 BE 3 and policy action SK 2 IDR results Imbalances, which require monitoring and policy action

26 Macro-economic imbalance procedure In-depth reviews (IDRs) countries under IDR Excessive Imbalances which require specific monitoring and decisive policy action: BG, FR, HR, IT, Sl Imbalances, which require specific monitoring and decisive policy action: IE, ES, SI Imbalances, which require monitoring and decisive policy action: HU, DE Imbalances, which require monitoring and policy action: BE, NL, RO, FI, SE, UK

27 Reading the scoreboard At least two indicators outside the thresholds for all MSs 6 out of 11 is the maximum number of flashing indicators Some indicators are not flashing at all: REER and Total Financial Sector Liabilities growth rate In 2015, IDRs embedded in Country Reports and published in March to allow for discussions with stakeholders and more ownership by Member States

28 Reading the scoreboard (cont.) The scoreboard is a set of interlinked indicators: no single indicator can capture all potential risks The number of flashes is not the key criteria The severity of a breach of a threshold can be considered The analysis is based on a larger set of indicators Evolution over time has to be considered too The scoreboard consists of a combination of stock and flow indicators to capture both shorter-term rapid deteriorations as well as the longer term gradual accumulation of imbalances 28