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Servizio Studi Banca d’Italia Dott. Giuseppe Parigi

Servizio Studi Banca d’Italia Dott. Giuseppe Parigi. INDICATORI QUALITATIVI E ANALISI CONGIUNTURALE: Tabelle e grafici. R 2 e test F di significatività. Incremento di R 2. Clima di fiducia delle famiglie e variabili macroeconomiche.

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Servizio Studi Banca d’Italia Dott. Giuseppe Parigi

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  1. Servizio Studi Banca d’Italia Dott. Giuseppe Parigi INDICATORI QUALITATIVI E ANALISI CONGIUNTURALE: Tabelle e grafici

  2. R2 e test F di significatività

  3. Incremento di R2

  4. Clima di fiducia delle famiglie e variabili macroeconomiche

  5. (*) Heteroskedasticity consistent t-statistic. Note: S.E., regression standard error; DW, Durbin-Watson statistic; LM1-4, Lagrange multiplier test for residual autocorrelation of order 1 through 4; LB, Lijung-Box test for residual autocorrelation up to the 4th lag, 2(4); ARCH1-4, autoregressive conditional heteroskedasticity test up to the 4th lag, 2(4); ADF, augmented Dickey-Fuller test (10% critical value: -5.0); RESET, test of functional form; LM2, test for skewness and excess kurtosis. MA(x,y) is the (uncentred) y terms-moving average of x. Determinanti dell’ICF FRANCIA Variabile dipendente: log(FHCI)t (1986.2 – 2000.4) GERMANIA Variabile dipendente: log(DHCI)t (1986.2 – 2000.4) ITALY Variabile dipendente: log(IHCI)t (1986.3 – 2000.4) Variables Coefficients t-statistics(*) Variables Coefficients t-statistics(*) Variables Coefficients t-statistics(*) Constant 1.607 4.190 Constant 0.163 1.164 Constant 0.650 2.272 Log(FHCI)t-1 0.722 10.876 Log(DHCI)t-1 0.774 15.097 Log(IHCI)t-1 0.613 8.757 (U + P)t -0.025 -3.876 D(U + P)t -0.012 -2.958 D(U+)t -0.018 -4.122 D(log(CAPA),2)t 0.580 4.603 D(log(DBCI))t-4 0.110 1.850 D(log(PROD),3)t 0.436 4.084 D(log(FBCI))t 0.242 3.918 Log(EUHCI)t 0.191 2.995 Log(IBCI)t-2 0.335 4.366 D(log(EUHCI))t 0.510 4.485 D(log(EUHCI))t 0.886 7.392 Log(DEBY)t-1 -0.079 -3.244 D(log(EXCH))t -0.759 -3.538 D(log(EXCH))t*DU983 -0.240 -5.559 D(log(EXCH))t -0.254 -4.651 D(POLDUM)t -0.008 -2.288 D(log(INT),4)t -0.098 -4.870 D(log (INT),4)t*(1-du983) 0.050 2.553 D(POLDUM)t -0.017 -2. 613 = 0.96 = 0.97 = 0.94 S.E.(%) = 1.90 S.E.(%) = 1.83 S.E.(%) = 1.80 Misspecification tests (p-values in parentheses) Autocorrelation DW 1.97 LM1-4 0.16 (0.96) LB4 0.73 (0.95) Autocorrelation DW 2.03 LM1-4 0.74 (0.57) LB4 2.77 (0.60) Autocorrelation DW 2.22 LM1-4 0.78 (0.55) LB4 2.10 (0.71) Heteroskedasticity ARCH1-4 2.36 (0.67) Heteroskedasticity ARCH1-4 3.28 (0.51) Heteroskedasticity ARCH1-4 3.52 (0.47) Unit root test on residuals ADF -5.20 Unit root test on residuals ADF -5.68 Unit root test on residuals ADF -6.24 General specification RESET 0.14 (0.87) General specification RESET 1.90 (0.16) General specification RESET 2.16 (0.13) Normality LM2 1.36 (0.72) Normality LM2 2.85 (0.42) Normality LM2 1.38 (0.71) Determinanti del clima di fiducia delle fam.

  6. ICF: Francia

  7. ICF: Germania

  8. ICF: Italia

  9. PROPRIETA’ PREVISIVE DEGLI INDICI DI FIDUCIA

  10. I residui di stima dell’equazione per l’ICF in Italia 1 Note: (1) In grigio si evidenzia il periodo di stima fino al 2002.1.

  11. Test di stabilità per equazione e paese1

  12. Stime puntuali per trimestre (periodo 2002.2–2004.1)

  13. Inflazione effettiva e percepita in Italia, Francia e Germania

  14. Correlazione tra indicatori di fiducia CE e crescita reale(Periodo: 1986.1 – 1999.4)

  15. Crescita reale e indicatori di fiducia

  16. Crescita reale e indicatori di fiducia ISAE

  17. Confronto tra i migliori indicatori di fiducia CE e ISAE

  18. Indicatore di fiducia delle imprese CE

  19. Indicatore di fiducia delle imprese ISAE

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