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Analisi congiunturaleAnalisi congiunturale
Pavia, 18 Marzo 2008
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Indice
• 1 Lo scenario macroeconomico globale
• 2 Central bank watching
• 3 Short term analysis, daily news e analisi dei dati
(preview e review)
• 4 Focus sull’economia italiana
• 5 Indicatori di sintesi
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• A brief sketch of a market economist work
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1 – La crisi del settore finanziario
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Characteristics Instruments Classes
ABCP (Asset Backed Commercial Paper)Short term instruments backed by the cash flow or other assets such as credit cards, car loans, consumer, mortgage, loans, receivables
ABS (Asset Backed Security) in a narrower sense
Consumer ABS (Credit card, Auto Loans, Consumer Loans, Student loans) or Corporate ABS (Small business loans, Trade receivables, Whole business, Equipment Leases)
MBS (Mortgage Backed Securities)
a. Mortgage type (RMBS - Residential Mortgage Backed Security, CMBS - Commercial Mortgage Backed Security)
b. Tranching: i) Pass-through mortage-backed security: the new bond maintains the same financial characteristics of the pool of mortgages. ii) Collateralised Mortgage Obligation (CMO), different notes linked to the tranching of the portfolio
Securitisations against a pool of heterogeneous debt, which can have a variety of complex structures
CDO (Collateralised Debt Obligation)
CDO are generally classified according to:a. the Management of collateralb.the Stucture of the credit c. the Aim of the transactiond. the Composition of the underlying portfolio
a. Static CDO (collateral is defined at begin of CDO) and Managed CDO (active management of the collateral)
b. Cash flow CDO (no market value test) or Market value CDO (assets are marked to market periodically)
c. Balance sheet CDO (to transfer the risk of asset) and Arbitrage CDO (value creation through redefinition of the collateral in tranches)
d. Cash CDO (CLO (loans), CBO (corporate bonds), CDOs of ABS, CDOs of CDOs
SY
NTH
ETIC
TR
AN
SA
CTIO
N
Securitisation that enable banks to hold their loan portfolio on their balance sheet while simultaneously securitising the credit risk in their loan portfolios
Synthetic CDOComposition of the underlying portfolio: CDS single name, indeces of CDS (I traxx, CDX), CDO-squared where the majority of collateral is
tranches of other CDOs, CDOn
ABS in a wider sense CDO
(* ) the different asset classes described in the table are classified in categories that, by all means, do not include the full range
Source:UniCredit Research & Strategy
Securitisation of assets or pool of homogeneus assets which have generally simply structure
TR
UE S
ALE T
RA
NS
AC
TIO
N
Basic types of securitized instruments (* )
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ArrangerSets up the structure of the
assets portfolio and negotiates the transaction terms
ABS Investors
Rating AgenciesShould evaluate the risk embedded in the asset
securitized and provide the credit rating for the ABS
Bank/ Credit market Capital Market
risk
liquidity
Senior
Mezzanine
J unior
Senior
Mezzanine
J unior
SPVLegal owner of the
portfolio sold by the originator
OriginatorOwner of the loan being
securitized
SPVLegal owner of the
portfolio sold by the originator
OriginatorOwner of the loan being
securitized
OriginatorOwner of the loan being
securitized
OriginatorOwner of the loan being
securitized
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0
10
20
30
40
50
60
70
80
90
100
04/01/07 15/02/07 29/03/07 10/05/07 21/06/07 02/08/07 13/09/07 25/10/07 06/12/07 17/01/08
Spread 3-month Euribor and 3-month Eoniaswap rates
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0
10
20
30
40
50
60
70
80
90
100
04/01/07 15/02/07 29/03/07 10/05/07 21/06/07 02/08/07 13/09/07 25/10/07 06/12/07 17/01/08 28/02/08
Spread 3-month Euribor and 3-month Eoniaswap rates
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40
50
60
70
80
90
100
110
120
130
2-Jul-07 14-Aug-07 26-Sep-07 8-Nov-07 21-Dec-07 2-Feb-08 16-Mar-08
70
90
110
130
150
170
190
210
230
Euro Area, Spread Bank (A+/A) - Government Bond 10 years, L sc.
United States, Spread Bank (AA) - Government Bond 10 years, R sc.
06-Jul-0785 bp
06-Jul-0751 bp
23-Jan-0899 bp
23-Jan-08199 bp
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2 – Central bank watching
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il comunicato (statement) della Fed:
Release Date: January 22, 2008
The Federal Open Market Committee has decided to lower its target for the federal funds rate 75 basis points to 3-1/2 percent.
The Committee took this action in view of a weakening of the economic outlook and increasing downside risks to growth. While strains in short-term funding markets have eased somewhat, broader financial market conditions have continued to deteriorate and credit has tightened further for some businesses and households. Moreover, incoming information indicates a deepening of the housing contraction as well as some softening in labor markets.
The Committee expects inflation to moderate in coming quarters, but it will be necessary to continue to monitor inflation developments carefully.
Appreciable downside risks to growth remain. The Committee will continue to assess the effects of financial and other developments on economic prospects and will act in a timely manner as needed to address those risks.
Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; Timothy F. Geithner, Vice Chairman; Charles L. Evans; Thomas M. Hoenig; Donald L. Kohn; Randall S. Kroszner; Eric S. Rosengren; and Kevin M. Warsh. Voting against was William Poole, who did not believe that current conditions justified policy action before the regularly scheduled meeting next week. Absent and not voting was Frederic S. Mishkin.
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il comunicato (statement) della Fed:
Release Date: January 30, 2008
The Federal Open Market Committee decided today to lower its target for the federal funds rate 50 basis points to 3 percent.
Financial markets remain under considerable stress, and credit has tightened further for some businesses and households. Moreover, recent information indicates a deepening of the housing contraction as well as some softening in labor markets.
The Committee expects inflation to moderate in coming quarters, but it will be necessary to continue to monitor inflation developments carefully.
Today’s policy action, combined with those taken earlier, should help to promote moderate growth over time and to mitigate the risks to economic activity. However, downside risks to growth remain. The Committee will continue to assess the effects of financial and other developments on economic prospects and will act in a timely manner as needed to address those risks.
Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; Timothy F. Geithner, Vice Chairman; Donald L. Kohn; Randall S. Kroszner; Frederic S. Mishkin; Sandra Pianalto; Charles I. Plosser; Gary H. Stern; and Kevin M. Warsh. Voting against was Richard W. Fisher, who preferred no change in the target for the federal funds rate at this meeting.
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L’introductory statement della ECB:
…Incoming macroeconomic data point to moderating but ongoing real GDP growth. Yet the level of uncertainty resulting from the turmoil in financial markets remains high. Against this background we emphasize that maintaining price stability in the medium term is our primary objective in accordance with our mandate.
Indeed the firm anchoring of medium to longer term inflation expectations is of the highest priority to the governing council.
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0
1
2
3
4
5
6
24/01/2006 30/05/2006 03/10/2006 06/02/2007 12/06/2007 16/10/2007 19/02/2008
US Fed Funds
EU refi
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2
2.5
3
3.5
4
4.5
5
5.5
14/03/2007 26/05/2007 07/08/2007 19/10/2007 31/12/2007 13/03/2008
2.4
2.9
3.4
3.9
4.4
4.9
5.4
Futures 3M $ Jun 08
Futures 3M € Jun 08, r.s.
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2 – L’economia americana
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http://www.federalreserve.gov/fomc/#calendars
Calendar, statement and minutes of FOMC meetings
http://www.bea.gov/newsreleases/national/gdp/gdpnewsrelease.htm
National accounts statistics
http://www.federalreserve.gov/fomc/beigebook/2008/default.htm
Beige book is the report prepared by Fed’s districts
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The housing sector
Housing starts
950
1150
1350
1550
1750
1950
2150
gen-96 nov-97 set-99 lug-01 mag-03 mar-05 gen-07
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30Source: UniCredit Research & Strategy, OECD
40
45
50
55
60
65
70
gen-99 ott-99 lug-00 apr-01 gen-02 ott-02 lug-03 apr-04 gen-05 ott-05 lug-06 apr-07 gen-08
ISM non manufacturing
ISM manufacturing
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31Source: UniCredit Research & Strategy, OECD
-2%
0%
2%
4%
6%
8%
10%
12%
giu-96 set-97 dic-98 mar-00 giu-01 set-02 dic-03 mar-05 giu-06 set-07
RETAIL SALES yoy
RETAIL SALESEX.AUTO yoy
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Mercato del lavoro
Employment
97.5
98
98.5
99
99.5
100
100.5
-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12
Average past 5 recessions
Current
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Industrial output
Industrial production
95
96
97
98
99
100
101
-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12
Average past 5 recessions
Current
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Industrial output
Personal income less transfer
96.5
97
97.5
98
98.5
99
99.5
100
100.5
-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12
Average past 5 recessions
Current
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Industrial output
Personal expenditures
96.5
97
97.5
98
98.5
99
99.5
100
100.5
101
-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12
Average past 5 recessions
Current
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The housing sector
750
1250
1750
2250
gen-
59
gen-
61
gen-
63
gen-
65
gen-
67
gen-
69
gen-
71
gen-
73
gen-
75
gen-
77
gen-
79
gen-
81
gen-
83
gen-
85
gen-
87
gen-
89
gen-
91
gen-
93
gen-
95
gen-
97
gen-
99
gen-
01
gen-
03
gen-
05
gen-
07
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Housing startsRecessions
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I cicli economici US
Duration in Months of US recessions
Average, peacetime cycles Contraction Expansion
1854-1991 (26 cycles) 19 291854-1919 (14 cycles) 22 241919-1945 (5 cycles) 20 261945-1991 (7 cycles) 11 43
April 1960(I I ) February 1961 (I ) 10 24December 1969(IV) November 1970 (IV) 11 106November 1973(IV) March 1975 (I ) 16 36J anuary 1980(I) J uly 1980 (I I I ) 6 58J uly 1981(I I I ) November 1982 (IV) 16 12
J uly 1990(I I I ) March 1991(I) 8 92March 2001(I) November 2001 (IV) 8 120
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1982 -1.91991 -0.22001 0.8
PERIOD % var y/y
Q1 1982 -1.6Q2 1982 0.5Q3 1982 -0.4Q4 1982 0.1Q4 1990 -0.8Q1 1991 -0.5Q2 1991 0.6Q3 1991 0.5Q4 1991 0.5Q1 2001 -0.1Q2 2001 0.3Q3 2001 -0.4Q4 2001 0.4
Q4 2007 0.1
PERIOD % var q/q
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MEASURES OF PRICE STICKINESS IN THE EURO AREA AND THE US
Statistics Euro area USFrequency 15.1 24.8Average duration (months) 13 6.7Median duration (months) 10.6 4.6
PPI Frequency 20 n.aFrequency 15.9 20.8Average duration (months) 10.8 8.3
NKPC Average duration (months) 13.5-19.2 7.2-8.4Internet prices Frequency 95.5 94.7
Source: L.J. Alvarez et al., "Sticky prices in the euro area: a summary of new micro ecidence", BDE (2005)
Euro area US0.904 0.84510.5 6.5
CPI
Surveys
Estimates of the θ coefficient (NKPC)Implied average duration (quarters)
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E in Europa?
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20
30
40
50
60
70
80
90
100
110
18/03/2005 17/03/2006 16/03/2007 14/03/2008
London Brent crude oil index
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Eurozone Germany France Italy1996 1.0 1.1 0.71997 2.6 1.8 2.2 1.91998 2.8 2.0 3.5 1.41999 3.0 2.0 3.3 1.92000 3.8 3.2 3.9 3.62001 1.9 1.2 1.9 1.82002 0.9 0.0 1.0 0.52003 0.8 -0.2 1.1 0.02004 2.1 1.1 2.5 1.52005 1.6 0.8 1.7 0.62006 2.8 2.9 2.0 1.8
2007 2.6 2.5 1.9 1.5
Media 1996-2007 2.3 1.5 2.2 1.4Media 1996-2001 2.8 1.9 2.7 1.9Media 2001-2007 1.8 1.2 1.7 1.0
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I cicli economici US
80
85
90
95
100
105
110
115
gen-91 mag-92 set-93 gen-95 mag-96 set-97 gen-99 mag-00 set-01 gen-03 mag-04 set-05 gen-07
IFO - "Current situation" component
IFO - "Expectations" component
IFO - confidence index
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45
80
85
90
95
100
105
110
115
gen-99 ott-99 lug-00 apr-01 gen-02 ott-02 lug-03 apr-04 gen-05 ott-05 lug-06 apr-07 gen-08
0.75
0.85
0.95
1.05
1.15
1.25
1.35
1.45
1.55
REER vs 44(lhs)
Euro/USD (rhs)
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I cicli economici US
INDUSTRIAL PRODUCTION -0.31 0.29 0.15
EXPORT -0.36 0.72 0.60 0.65
EU ITALY GERMANY FRANCE
0.25
RECORD HIGH (today) 1.58FEBRUARY 2008 MONTHLY MEAN 1.47
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47
I cicli economici US
Indice della produzione industriale (2006=100)
96
98
100
102
104
106
108
110
112
114
gen-06 apr-06 lug-06 ott-06 gen-07 apr-07 lug-07 ott-07 gen-08
Italia GermaniaFranciaEurozona
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I cicli economici US
0.00
0.20
0.40
0.60
0.80
1.00
1.20
gen-99 feb-00 mar-01 apr-02 mag-03 giu-04 lug-05 ago-06 set-07
-1.50
-1.00
-0.50
0.00
0.50
1.00Eurocoin
CFNAI - Chicago Fed Nationa Activity Index
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I cicli economici US
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
1996Q1 1997Q2 1998Q3 1999Q4 2001Q1 2002Q2 2003Q3 2004Q4 2006Q1 2007Q2
Eurozone private consumption Var. % y/y
Var. % q/q ann. 5 period centered moving average
2001 Q4
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50
I cicli economici US
6.5
7
7.5
8
8.5
9
9.5
10
10.5
11
Q1 1996 Q2 1998 Q3 2000 Q4 2002 Q1 2005 Q2 2007
1
1.5
2
2.5
3
3.5
Unemployment rateCompensation Var. % y/y
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I cicli economici US
Consumer spending, bn €
860
880
900
920
940
960
980
1000
2000Q1 2001Q2 2002Q3 2003Q4 2005Q1 2006Q2 2007Q3
SimulatedActual
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I cicli economici US
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
1996Q1 1997Q2 1998Q3 1999Q4 2001Q1 2002Q2 2003Q3 2004Q4 2006Q1 2007Q2
Productivity growth
Compensation growht
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53
I cicli economici US
Real disposable income, var.% y/y
0
0.5
1
1.5
2
2.5
3
3.5
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
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4 – L’economia italiana
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I più recenti dati di contabilità nazionale
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
2001 2002 2003 2004 2005 2006 2007
GDP
Private consumption
GFCF
Export
Import
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New data
Italy 2005 2006 2007yoy % changesGDP 0.6 1.8 1.5Investment 0.7 2.5 1.2Private Consumption 0.9 1.1 1.4Export 1.0 6.2 5.0Import 2.2 5.9 4.4
Old data
Italy 2005 2006 2007yoy % changesGDP 0.1 1.9 1.7Investment -0.5 2.3 3.1
Private Consumption 0.6 1.5 1.9Export -0.5 5.3 2.1Import 0.5 4.3 2.4
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0
2
4
6
8
10
12
Q3 1993 Q3 1995 Q3 1997 Q3 1999 Q3 2001 Q3 2003 Q3 2005 Q3 2007
-3
-2
-1
0
1
2
3
Unemployment rate
Employment (var. % y/y), Rsc
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58
I cicli economici US
Indice della produzione industriale (2006=100)
96
98
100
102
104
106
108
110
112
114
gen-06 apr-06 lug-06 ott-06 gen-07 apr-07 lug-07 ott-07 gen-08
Italia GermaniaFranciaEurozona
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Un punto di vista originale: la survey
Unicredit Confapi
Nelle tabelle e grafici che seguono sono riportati i risultati in termini di saldo, cioè della differenza percentuale tra imprese che rispondono “migliora” e quelle che rispondono “peggiora” sia sulle condizioni correnti che su quelle future.
L’impressione è che vi sia meno pessimismo di quanto emerga dai dati macroeconomici.
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-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
lug-03 apr-04 gen-05 ott-05 lug-06 apr-07 gen-08
-0.05
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35Activity IndicatorConfapi - produzione
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-25%
-10%
5%
20%
35%
II Sem2003
I Sem 2004
II Sem 2004
I Sem 2005
II Sem 2005
I Sem 2006
II Sem 2006
I Sem 2007
II Sem 2007
I Sem 2008
Livello della produzione
Livello degli ordini
Livello del fatturato
Variazione utile lordo
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62Source: UniCredit Research & Strategy, OECD
Saldi II Sem
2003I Sem 2004
II Sem 2004
I Sem 2005
II Sem 2005
I Sem 2006
II Sem 2006
I Sem 2007
II Sem 2007
Livello della produzione 6.9% 11.8% 10.40% -0.10% 12.1% 26.8% 31.5% 27.8% 16.4%Livello degli ordini 5.2% 12.1% 8.30% -6.40% 11.8% 27.2% 28.0% 25.8% 14.8%Ordini Italia 0.0% 6.2% 5.60% -5.90% 6.8% 21.3% 24.3% 20.9% 9.9%Ordini UE -6.8% 4.9% 4.70% -3.30% 3.8% 18.6% 22.7% 17.7% 10.5%Ordini extra UE -9.4% 7.3% -3.40% -0.30% 4.4% 15.0% 16.2% 14.2% 4.2%Livello del fatturato 8.1% 14.3% 15.10% 1.30% 12.5% 26.3% 30.9% 28.4% 20.6%Fatturato Italia 2.9% 9.3% 11.80% -3.30% 9.2% 23.7% 27.0% 25.2% 15.5%Fatturato UE -3.7% 6.9% 8.00% -0.30% 4.4% 19.4% 24.3% 18.1% 13.2%Fatturato extra UE -6.9% 4.9% 0.50% -1.00% 3.2% 15.4% 20.2% 14.0% 7.0%Ore lavoro straordinario - - - -19.10% -10.3% -1.9% 4.7% 0.7% -5.6%Occupazione 0.0% 3.8% 2.20% -2.30% 0.0% 9.3% 9.4% 9.8% 7.34%Variazione utile lordo - - -6.1% -22.9% -9.1% -6.5% 6.2% -4.6% -6.6%
Saldi
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63Source: UniCredit Research & Strategy, OECD
Saldi I Sem
2004II Sem 2004
I Sem 2005
II Sem 2005
I Sem 2006
II Sem 2006
I Sem 2007
II Sem 2007
I Sem 2008
Produzione attesa 19.1% 14.5% 16.0% 8.8% 22,2% 24.2% 30.4% 22.2% 13.9%Ordini attesi 19.3% 15.3% 16.2% 7.9% 22.3% 23.8% 31.0% 21.1% 14.5%Ordini attesi Italia - - 12.3% 3.7% 19.4% 21.3% 34.9% 18.7% 10.9%Ordini attesi UE - - 24.3% 3.9% 15.4% 18.2% 34.5% 14.8% 12.6%Ordini attesi extra UE - - 18.8% 6.6% 15.1% 12.7% 33.3% 13.8% 9.0%Fatturato atteso 20.1% 15.2% 18.6% 9.0% 22.4% 26.4% 37.3% 23.5% 16.4%Fatturato atteso Italia - - 14.4% 3.6% 20.0% 23.9% 33.7% 20.9% 12.9%Fatturato atteso UE - - 8.1% 2.8% 14.0% 18.4% 33.5% 16.4% 13.1%Fatturato atteso extra UE - - 14.7% 6.1% 14.4% 12.6% 29.6% 16.4% 8.2%Tendenze dell'occupazione 9.8% 2.3% 6.3% 0.6% 8.7% 8.6% 19.1% 6.6% 7.3%
Saldi
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6 – esempio di elaborazione di indicatori di sintesi
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Come sintetizzare l’informazione disponibile?1. I molti dati disponibili a frequenza mensile non forniscono sempre indicazioni
concordi.
2. Può essere utile anche come strumento di descrizione e comunicazione disporre di indicatori coincidenti del ciclo economico.
3. Sviluppo recente di metodologie che si fondano sull’utilizzo di large dataset.
4. Applicazioni: CFNAI index http://www.chicagofed.org/economic_research_and_data/cfnai.cfm
Eurocoin http://www.cepr.org/data/EuroCOIN/latest/
Abbiamo elaborato per Germania Austria e Italia un indicatore simile al CFNAI.
Vedi il documento allegato.
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66Source: UniCredit Research & Strategy, OECD
Germany economic activity index
-2.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
Feb-01 Sep-01 Apr-02 Nov-02 Jun-03 Jan-04 Aug-04 Mar-05 Oct-05 May-06 Dec-06 Jul-07 Feb-08
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Italy economic activity index
-2
-1.5
-1
-0.5
0
0.5
1
1.5
Feb-01 Sep-01 Apr-02 Nov-02 Jun-03 Jan-04 Aug-04 Mar-05 Oct-05 May-06 Dec-06 Jul-07 Feb-08
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United States 2005 2006 2007 2008 2009 2010yoy % changesGDP 3.1 2.9 2.2 1.5 2.3 2.8Investment 6.9 2.4 -2.9 -2.1 1.4 3.5Private Consumption 3.2 3.1 2.9 1.0 2.4 2.8Export 6.9 8.4 7.9 5.2 4.4 5.6Import 5.9 5.9 2.0 -1.2 3.3 5.3
Inflation 2.9 2.8 2.2 3.3 2.3 2.3
Eurozone 2005 2006 2007 2008 2009 2010yoy % changesGDP 1.5 2.8 2.7 1.4 1.7 2.0Investment 2.7 4.9 4.7 3.1 2.5 2.9Private Consumption 1.5 1.8 1.7 1.8 1.9 1.8Export 4.5 7.8 5.8 3.4 3.5 5.5Import 5.2 7.6 5.3 4.8 4.1 5.2
Inflation 2.2 2.2 2.0 2.5 2.0 2.0
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Macroeconomic Scenario
Italy 2005 2006 2007 2008 2009 2010yoy % changesGDP 0.1 1.9 1.7 1.0 1.3 1.5Investment -0.5 2.3 3.1 2.8 1.6 2.0Private Consumption 0.6 1.5 1.9 1.2 1.7 1.2Export -0.5 5.3 2.1 1.2 2.6 4.6Import 0.5 4.3 2.4 2.4 2.9 3.0
Inflation 2.2 2.2 2.0 2.4 2.0 1.9
Unemployment Rate (%) 7.7 6.8 6.0 5.7 5.5 5.4
Public Deficit % GDP (%) 4.2 4.4 2.1 1.8 1.5 1.5