Monthly Estimates of GDP from Quarterly National Accounts and Social Security Register

1. Monthly Estimates of GDP from Quarterly National Accounts and Social Security Register Javier Aramburu, Haritz Olaeta and Marta Salvador Helsinki, 4th May 2010

2. Outline • Introduction • Social Security data in Spain • Relationship between affiliation data and quarterly GDP • Use of affiliation series to estimate monthly GDP • Preliminary results • Conclusions and future work

3. 1. Introduction Purpose of QNA • Provide coherent picture of economic situation • Basis for business cycle analisys and modelling purposes • Be more timely than Annual National Accounts Objection • Demand of prompt information has increased enormously • QNA is available within 6 to 9 weeks after the quarter due to the lack of quarterly indicators Purpose of this work Obtain monthly estimations of GDP from administrative sources (Social Security Register) consistent with QNA

4. Outline • Introduction • Social Security data in Spain • Relationship between affiliation data and quarterly GDP • Use of affiliation series to estimate monthly GDP • Preliminary results • Conclusions and future work

5. 2. Social Security data in Spain The Social Security System includes: - persons who carry out professional activity - persons who fulfil non-contributive modalities requirements Recorded in Soc. Sec. Register Affiliation number Person with work activity Evolution of affiliates Evolution of economical activity Evolution of GDP

6. 2. Social Security data in Spain Monthly available information Monthly means 2-3 days NACE Rev.2 aggregations Last-day- of-month data Basque Country provinces NACE Rev.2 incorporates significant changes from NACE Rev.1 which has caused additional difficulty when estimating GDP by kind of activity, HERE NOT CONSIDERED

7. Outline • Introduction • Social Security data in Spain • Relationship between affiliation data and quarterly GDP • Use of affiliation series to estimate monthly GDP • Preliminary results • Conclusions and future work

8. 3. Relationship between affiliation - GDP Figure 1. Affiliates. Gross and Seasonally adjusted data. Clear seasonal component in the data USE SEASONALLY ADJUSTED DATA

9. To analyse correlation between social security data and GDP: Figure 2. GDP. Gross and Seasonally Adjusted Affiliates. Year-to-year growth R2 =0.97 high correlation between GDP and Social Security data

10. To analyse the residuals: Figure 3. Residuals worst adjustmentin 2009 probably due to the need of introducing other relevant indicators

11. Outline • Introduction • Social Security data in Spain • Relationship between affiliation data and quarterly GDP • Use of affiliation series to estimate monthly GDP • Preliminary results • Conclusions and future work

12. 4. Affiliation series to estimate GDP Estimation of GDP ECOTRIM univariate methods of time disaggregations Basque QNA (EUSTAT) quarterly monthly Chow and Lin (1971) Fernández (1981) Litterman (1983) Due to lack of overall cointegration affiliation - GDP

13. Outline • Introduction • Social Security data in Spain • Relationship between affiliation data and quarterly GDP • Use of affiliation series to estimate monthly GDP • Preliminary results • Conclusions and future work

14. 5. Preliminary results Figure 4. Monthly disaggregated GDP and quarterly GDP. Year-to-year growth

15. 5. Preliminary results Figure 5. Monthly disaggregated GDP and quarterly GDP. Year-to-year growth

16. 5. Preliminary results Table 1. Quarterly GDP. Year-to-year and quarter-to-quarter growth • Errors observed in third and fourth quarters appear to be practically insignificant (0.2 and 0.1 absolute error respectively). • First and second quarters show significant deviations (1.2 and 0.6 respectively in y-t-y growth; 1.2 and 0.3 in q-t-q growth rates). • Structural change shown between the Affiliates and observed quarterly GDP since late 2008, more remarkably in early 2009.

17. Outline • Introduction • Social Security data in Spain • Relationship between affiliation data and quarterly GDP • Use of affiliation series to estimate monthly GDP • Preliminary results • Conclusions and future work

18. 6. Conclusions and future work Conclusions • This results are encouraging as THE MONTHLY ESTIMATE SEEMS TO MAKE SENSE. The quarterly flash estimates (obtained summing up the monthly estimates) have shown to be, quite a good predictions of the real quarterly GDP. • The economic crisis has had an impact on the relationship between these two series. Therefore, is DESIRABLE TO INCLUDE MORE AVAILABLE INFORMATION to get an indicator with a higher cointegration with quarterly GDP. • The DATA used is AVAILABLE THE FIRST WEEK AFTER THE REFERENCE QUARTER. This means an advance of 5 to 8 weeks compared to the GDP provided by QNA.

19. 6. Conclusions and future work Future work • The Social Security Register offers Affiliates data of the Basque Country at PROVINCE level and for different ECONOMIC SECTORS. Therefore, the next extensions of this work will be: • Obtention of monthly ESTIMATES OF THE COMPONENTS OF GDP from the production approach • Disaggregation of the monthly GDP for each of the Basque PROVINCES

20. Thank you !!! Eskerrik asko !!! Kiitoksia !!!