Servizio Studi Banca d’ItaliaDott. Giuseppe Parigi

INDICATORI QUALITATIVI E ANALISI CONGIUNTURALE:

Tabelle e grafici

R2 e test F di significatività l o g l o gC I C Ft i

it i

1

4

( 1 9 7 4 . 2 - 1 9 9 4 . 4 )

C o n s u m i

n o n d u r e v o l i C o n s u m i D u r e v o l i

C o n s u m i T o t a l i

I C F 0 , 1 3 ( 0 , 3 ) 0 , 2 4 ( 0 , 0 ) 0 , 1 7 ( 7 , 1 ) I C F c o n d u m m y 1 0 , 1 8 ( 0 , 0 ) 0 , 0 2 ( 0 , 0 ) 0 , 1 5 ( 0 , 0 ) M e d i a m o b i l e d i I C F 2 0 , 1 3 ( 0 , 4 ) 0 , 3 4 ( 0 , 0 ) 0 , 2 3 ( 0 , 1 ) M e d i a m o b i l e d i I C F c o n d u m m y 1 , 2 0 , 2 4 ( 0 , 0 ) 0 , 1 0 ( 0 , 0 ) 0 , 2 1 ( 0 , 0 ) P r i m a c o m p o n e n t e p r i n c i p a l e ( p c p ) 0 , 2 0 ( 0 , 0 ) 0 , 0 4 ( 0 , 0 ) 0 , 1 7 ( 0 , 0 ) P c p c o n d u m m y 1 0 , 1 0 ( 0 , 7 ) 0 , 2 0 ( 0 , 0 ) 0 , 1 4 ( 0 , 1 ) M e d i a m o b i l e d e l l a p c p 2 0 , 1 0 ( 1 , 5 ) 0 , 3 1 ( 0 , 0 ) 0 , 1 9 ( 0 , 1 ) M e d i a m o b i l e d e l l a p c p c o n d u m m y 1 , 2 0 , 2 5 ( 0 , 0 ) 0 , 0 6 ( 0 , 0 ) 0 , 2 2 ( 0 , 0 ) I n p a r e n t e s i c o m p a r e i l v a l o r e i n p r o b a b i l i t à ( % ) d e l t e s t F s u l l a s i g n i f i c a t i v i t à c o n g i u n t a d e i t e r m i n i r e l a t i v i a l l ’ I C F . P e r e v i t a r e d i s t o r s i o n i d o v u t e a l l a p o s s i b i l e p r e s e n z a d i a u t o c o r r e l a z i o n e e / o e t e r o s c h e d a s t i c i t à s i è u t i l i z z a t a u n a m a t r i c e d i c o v a r i a n z a c o n s i s t e n t e . N o t e . ( 1 ) V a r i a b i l e d u m m y c o n v a l o r i u n i t a r i a p a r t i r e d a l p r i m o t r i m e s t r e d e l 1 9 8 2 . - ( 2 ) M e d i a m o b i l e c e n t r a t a d i t r e t e r m i n i .

Incremento di R2

l o g l o g l o g l o gC C Y D R I C Ft ii

ti

i t i ii

t i

01

4

11

4

1

4

1 9 7 4 . 2 - 1 9 9 4 . 4

C o n s u m i

n o n d u r e v o l i C o n s u m i D u r e v o l i

C o n s u m i T o t a l i

I C F 0 , 0 7 ( 0 , 2 ) 0 , 0 1 ( 2 6 , 9 ) 0 , 0 3 ( 2 , 1 ) I C F c o n d u m m y 1 0 , 0 8 ( 0 , 2 ) 0 , 0 1 ( 3 4 , 2 ) 0 , 0 2 ( 2 , 5 ) M e d i a m o b i l e d i I C F 2 0 , 0 7 ( 0 , 3 ) 0 , 0 1 ( 2 4 , 6 ) 0 , 0 3 ( 2 , 3 ) M e d i a m o b i l e d i I C F c o n d u m m y 1 , 2 0 , 0 7 ( 0 , 2 ) 0 , 0 1 ( 3 0 , 4 ) 0 , 0 3 ( 2 , 4 ) P r i m a c o m p o n e n t e p r i n c i p a l e ( p c p ) 0 , 0 7 ( 0 , 2 ) 0 , 0 1 ( 2 6 , 6 ) 0 , 0 2 ( 3 , 4 ) P c p c o n d u m m y 1 0 , 0 7 ( 0 , 2 ) 0 , 0 1 ( 3 3 , 9 ) 0 , 0 2 ( 3 , 8 ) M e d i a m o b i l e d e l l a p c p 2 0 , 0 7 ( 0 , 3 ) 0 , 0 1 ( 2 6 , 8 ) 0 , 0 3 ( 2 , 0 ) M e d i a m o b i l e d e l l a p c p c o n d u m m y 1 , 2 0 , 0 8 ( 0 , 3 ) 0 , 0 1 ( 3 3 , 8 ) 0 , 0 3 ( 2 , 1 ) I n p a r e n t e s i c o m p a r e i l v a l o r e i n p r o b a b i l i t à ( % ) d e l t e s t F s u l l a s i g n i f i c a t i v i t à c o n g i u n t a d e i t e r m i n i r e l a t i v i a l l ’ I C F . P e r e v i t a r e d i s t o r s i o n i d o v u t e a l l a p o s s i b i l e p r e s e n z a d i a u t o c o r r e l a z i o n e e / o e t e r o s c h e d a s t i c i t à s i è u t i l i z z a t a u n a m a t r i c e d i c o v a r i a n z a c o n s i s t e n t e . N o t e . ( 1 ) V a r i a b i l e d u m m y c o n v a l o r i u n i t a r i a p a r t i r e d a l p r i m o t r i m e s t r e d e l 1 9 8 2 . - ( 2 ) M e d i a m o b i l e c e n t r a t a d i t r e t e r m i n i .

Clima di fiducia delle famiglie e variabili macroeconomiche

Clima di fiducia e variabili macroeconomiche Variabile dipendente: log(ICF)t

COSTANTE 2,146

(6,203) 2,025

(5,742) log(ICF)t-1 0,601

(9,798) 0,625

(9,937) (URED)t+INFLAZIONEt -0,015

(-3,943) -0,014

(-3,710) log(TASSO SCONTO)t-1 -0,659

(-3,598) -0,659

(-3,676) Mavelog(RED. DISP.)t 5,312

(1,704) 6,030

(2,146) log(CAMBIO)t

NOSME -2,528 (4,578)

-2,138 (-3,890)

CPSCIOP media ponderata di una dummy relativa ai periodi di crisi di governo e dal tasso di variazione delle ore di sciopero totali.

-0,139 (-4,241)

DU744 -1,296 (-32,852)

-1,248 (-40,951)

R 2 0,95 0,96 Errore standard (%) 0,11 0,10 Test di Autocorrelazione 28,77 21,99 Test di Eteroschedasticità 0,00 0,00 Test RESET 25,88 7,18 Numero di osservazioni 74 74 Periodo di stima 1973.3-1991.4 1973.3-1991.4

Determinanti del clima di fiducia delle fam.

ICF: Francia

200019991998199719961995199419931992199119901989198819871986

4.40

4.45

4.50

4.55

4.60

4.65

4.70

4.75

4.80

4.85

France

ICF: Germania

1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000

4.30

4.35

4.40

4.45

4.50

4.55

4.60

4.65

4.70

4.75

4.80

Germany

ICF: Italia

200019991998199719961995199419931992199119901989198819871986

4.55

4.60

4.65

4.70

4.75

4.80

4.85

4.90

confidence index fitted values

Italy

PROPRIETA’ PREVISIVE DEGLI INDICI DI FIDUCIA

I residui di stima dell’equazione per l’ICF in

Italia 1

-.08

-.04

.00

.04

.08

.12

1975 1980 1985 1990 1995 2000

Note: (1) In grigio si evidenzia il periodo di stima fino al 2002.1.

Test di stabilità per equazione e paese1

TEST DI STABILITÀ PER EQUAZIONE E PAESE1

Francia Germania Italia Variabile dipendente: clima di fiducia

1992.3 – 1993.2 0.3977 0.0084 0.0000 2002.2 – 2004.1 0.1080 0.1131 0.0166

Variabile dipendente: crescita del PIL 1992.3 – 1993.2 0.1090 0.0676 0.3072 2002.2 – 2004.1 0.7062 0.9985 0.8917

Variabile dipendente: mercato del lavoro-ciclo 2 1992.3 – 1993.2 0.5776 0.0201 0.0026 2002.2 – 2004.1 0.9405 0.7770 0.7040

Variabile dipendente: tasso di inflazione 3 1992.3 – 1993.2 0.7664 0.9010 2002.2 – 2004.1 0.9332 0.9965

Variabile dipendente: tasso di interesse 4 1992.3 – 1993.2 0.0584

2002.2 – 2004.1 0.9997

(1) In ogni cella sono riportati i valori di probabilità delle statistiche di Wald per verificare l’ipotesi nulla che i coefficienti delle variabili dummy puntuali per periodo sono congiuntamente uguali a zero. (2) Tasso di disoccupazione per la Francia; output gap per la Germania e tasso di occupazione per l’Italia. (3) Nel modello per la Germania l’inflazione è esogena condizionante. (4) Nei modelli per Germania e Italia non compare il tasso di interesse.

Stime puntuali per trimestre (periodo 2002.2–2004.1)

STIME PUNTUALI PER TRIMESTRE (PERIODO 2002.2–2004.1)

Francia Germania Italia Trimestre Stima1 p-value Stima1 p-value Stima1 p-value

Variabile dipendente: clima di fiducia 2002.2 0.0630 0.128 0.0079 0.789 -0.0233 0.454 2002.3 -0.0246 0.551 0.0226 0.454 -0.0491 0.115 2002.4 -0.0333 0.424 -0.0896 0.003 -0.0677 0.031 2003.1 -0.0879 0.034 0.0088 0.776 -0.0542 0.090 2003.2 -0.0137 0.743 -0.0123 0.681 -0.0402 0.213 2003.3 0.0328 0.439 0.0307 0.306 -0.0360 0.265 2003.4 -0.0501 0.231 0.0273 0.361 -0.0558 0.084 2004.1 0.0709 0.092 -0.0263 0.378 -0.0911 0.005

Variabile dipendente: crescita del PIL 2002.2 0.0016 0.732 -0.0023 0.799 -0.0002 0.978 2002.3 -0.0047 0.313 -0.0041 0.653 -0.0010 0.884 2002.4 -0.0068 0.152 0.0066 0.487 0.0034 0.615 2003.1 -0.0013 0.775 0.0002 0.983 -0.0043 0.528 2003.2 -0.0044 0.348 -0.0023 0.797 0.0012 0.867 2003.3 0.0049 0.301 -0.0025 0.780 0.0082 0.242 2003.4 0.0023 0.622 -0.0027 0.769 0.0026 0.714 2004.1 0.0012 0.806 -0.0011 0.900 0.0090 0.201

(1) Stima del parametro della variabile dummy riferita al periodo indicato nella prima colonna.

Inflazione effettiva e percepita in Italia, Francia e Germania

-3

-2

-1

0

1

2

3

4

86 88 90 92 94 96 98 00 02

-3

-2

-1

0

1

2

3

86 88 90 92 94 96 98 00 02

Francia

GermaniaItalia

Inflazione percepita

Inflazione in Italia

percepita

effettiva

Correlazione tra indicatori di fiducia CE e crescita reale

(Periodo: 1986.1 – 1999.4) Correlation between EC confidence indicators and GDP growth

(Period: 1986.1 – 1999.4)

GDPt-3 GDPt-2 GDPt-1 GDPt GDPt+1 GDPt+2 GDPt+3

Manufacturing conf. Indicator (A)

(1) 0.44 0.63 0.77 0.77 0.69 0.52 0.31 (2) 0.51 0.69 0.78 0.76 0.63 0.44 0.24

Retail trade conf. Indicator (B)

(1) 0.35 0.53 0.68 0.76 0.74 0.67 0.52 (2) 0.41 0.58 0.72 0.76 0.70 0.63 0.47

Construction conf. Indicator (C)

(1) -0.03 0.16 0.35 0.52 0.58 0.62 0.56 (2) -0.02 0.22 0.41 0.54 0.60 0.61 0.52

(A+B+C)

(3) 0.37 0.59 0.78 0.85 0.82 0.71 0.52

(A+B+C)

(4) 0.44 0.65 0.81 0.85 0.78 0.64 0.44

(A+B+C)

(5) 0.40 0.62 0.80 0.85 0.80 0.68 0.48

Legend. (1) The transformation from monthly to quarterly series is expressed as the arithmetic mean. (2) The transformation from monthly to quarterly series is expressed as three-term moving average centred on the last month of the quarter. (3) Arithmetic mean (weights are given by added values at 1995 factor prices). (4) The transformation from monthly to quarterly series is expressed as three-term moving average centred on the last month of the quarter. (5) The transformation of series A from monthly to quarterly is expressed as the arithmetic mean; the transformation of series B and C from monthly to quarterly series is expressed as three-term moving average centred on the last month of the quarter.

Crescita reale e indicatori di fiducia

GDP growth and confidence indicators

Granger causality tests Regression analysis

Indicators Null hypothesis:

Indicator does not Granger-cause

GDP (% p-values)

Null hypothesis: GDP does not Granger-cause

Indicator (% p-values)

R2 Adjusted R2 Standard

error of the regression

Manufacturing Confidence Indicator (A)

(1) 0.226 53.781 0.360 0.238 0.00526

(2) 1.787 27.590 0.285 0.149 0.00555

Retail trade Confidence Indicator (B)

(1) 4.501 4.704 0.248 0.105 0.00570

(2) 1.322 0.317 0.297 0.163 0.00551

Construction Confidence Indicator (C)

(1) 62.398 45.448 0.112 -0.0569 0.00619

(2) 15.489 57.491 0.193 0.0387 0.00590

A+B+C

(3) 0.814 35.391 0.315 0.184 0.00544

A+B+C

(4) 0.182 3.160 0.367 0.246 0.00523

A+B+C

(5) 0.110 12.417 0.383 0.266 0.00516

Legend. (1) The transformation from monthly to quarterly series is expressed as the arithmetic mean. (2) The transformation from monthly to quarterly series is expressed as three-term moving average centred on the last month of the quarter. (3) Arithmetic mean (weights are given by added values at 1995 factor prices). (4) The transformation from monthly to quarterly series is expressed as three-term moving average centred on the last month of the quarter. (5) The transformation of series A from monthly to quarterly is expressed as the arithmetic mean; the transformation of series B and C from monthly to quarterly series is expressed as three-term moving average centred on the last month of the quarter.

Crescita reale e indicatori di fiducia ISAE

GDP growth and ISAE confidence indicators

Granger causality tests Regression analysis Indicators (a) (b) R2 Adjusted R2 SER

Manufacturing Confidence Indicator (A) (1) 3.109 23.914 0.263 01.23 0.00564 (2) 7.452 42.342 0.226 0.079 0.00578

Manufacturing Confidence Indicator (B) (1) 1.516 54.944 0.291 0.156 0.00553 (2) 2.693 66.082 0.269 0.130 0.00562

Manufacturing Confidence Indicator (C) (1) 1.181 35.613 0.301 0.168 0.00549 (2) 3.145 46.844 0.263 0.122 0.00564

Manufacturing Confidence Indicator (D) (1) 21.155 45.826 0.176 0020 0.00596 (2) 33.609 12.205 0.151 -0.011 0.00605

Manufacturing Confidence Indicator (E) (1) 20.049 29.854 0.179 00.23 0.00595 (2) 53.554 4.011 0.122 -0.045 0.00615

Manufacturing Confidence Indicator (F) (1) 0.143 25.237 0.375 0.255 0.00520 (2) 2.664 29.679 0.269 0.130 0.00562

Retail trade Confidence Indicator (G) (1) 30.446 74.948 0.157 -0.004 0.00603 (2) 30.967 96.944 0.156 -0.005 0.00604

Retail trade Confidence Indicator (H) (1) 3.107 36.408 0.263 0.123 0.00564 (2) 0.614 3.233 0.325 0.196 0.00540

Retail trade Confidence Indicator (I) (1) 1.980 59.632 0.281 0.144 0.00557 (2) 0.209 9.143 0.362 0.241 0.00525

Retail trade Confidence Indicator (L) (1) 6.943 18.271 0.229 0.0821 0.00577 (2) 1.711 1.934 0.287 0.0.151 0.00555

Construction Confidence Indicator (M) (1) 20.831 21.370 0.178 0.021 0.00596 (2) 10.261 14.606 0.212 0.062 0.00583

Construction Confidence Indicator (N) (1) 13.625 13.194 0.199 0.047 0.00588 (2) 11.223 4.026 0.208 0.057 0.00585

Construction Confidence Indicator (O) (1) 62.398 45.448 0.112 -0.057 0.00619 (2) 15.489 57.491 0.193 0.039 0.00590

Business Climate Indicators F+I+O (3) 0.157 21.742 0.372 0.252 0.00521 F+I+O (4) 0.036 37.565 0.417 0.306 0.00502

F+I (5) 0.026 61.187 0.427 0.318 0.00497

Notes. (a) Null hypothesis: indicator does not Granger-cause GDP (b) Null hypothesis: GDP does not Granger-cause indicator. Legend. SER standard error of the regression (1) Quarterly series as average of monthly series. (2) Quarterly series as three-term moving average centred on the last month of the quarter. (3) Quarterly series F and O as average of the monthly series. Quarterly series I as three-term moving average centred on the last month of the quarter. (4) Quarterly series F as average of the monthly series. Quarterly series I and O as three-term moving average centred on the last month of the quarter.(5) Quarterly series F as average of the monthly series. Quarterly series I as three-term moving average centred on the last month of the quarter.

Confronto tra i migliori indicatori di fiducia CE e ISAE

Comparison between the best EC and the ISAE Confidence indicators

R2 Adjusted R2 SER

EC ISAE EC ISAE EC ISAE Manufacturing

Confidence indicator 0.360 0.375 0.238 0.255 0.00526 0.00520

Retail trade confidence Indicator (1) 0.297 0.362 0.163 0.241 0.00551 0.00525

Construction confidence Indicator 0.193 0.212 0.0387 0.0620 0.00590 0.0583 Business climate Indicator (2) 0.383 0.427 0.266 0.318 0.00516 0.00497

Notes. (1) The EC retail trade confidence indicator doesn't Granger explain GDP, while the ISAE version does. (2) The ISAE indicator does not include the construction confidence indicator.

Indicatore di fiducia delle imprese CE

EC Business Climate Indicator

75

80

85

90

95

100

105

110

115

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999Years and quarters

-2

-1

0

1

2

3

4

5

6

GDP, quarterly to quarterly growth EC Business Climate Indicator (1995 = 100)

Indicatore di fiducia delle imprese ISAE

ISAE Business Climate Indicator

75

80

85

90

95

100

105

110

115

Years and quarters

ISA

E Bu

sines

s Clim

ate

Indi

cato

r

-2

-1

0

1

2

3

4

5

6

GD

P, q

uart

erly

to q

uart

erly

gr

owth

GDP, quarterly to quarterly growth ISAE Business Climate indicator