Obtaining Quarterly Series from the Annual Financial Accounts

Abstract

One of the main difficulties in building financial accounts is the necessity of reconciling different sources and complying with the aggregation constraints. The Italian financial accounts are available on an annual basis from 1950 to 2004 (see Bonci and Coletta in this volume). Quarterly series are available from 1990 onwards, but not for the earlier years. The paper explores the feasibility of constructing a database including quarterly information. This task is achieved by presenting some examples of temporal disaggregation of financial accounts series taking advantage of methods relying on the choice of available quarterly indicators.The empirical application shows the following results:1) for the household assets examined, the stock market index is the most stable indicator for obtaining quarterly data;2) for corporate liabilities, in addition to the stock market index, the real variables such as investment and GDP are important. Information on a quarterly basis is of interest both for short-term univariate analysis and for use in econometric models.