A new macro-financial condition index for the euro area

A new time-domain decomposition for weakly stationary or trend processes is introduced. The method based on trigonometric polynomial modeling, and it explicitly devised to disentangle medium long-term short-term fluctuations in macroeconomic financial series. multivariate extension involving sequential univariate decompositions Principal Components Analysis also provided. Based this approach, composite indexes of macro-financial conditions the euro area are indicators suggest that most GDP contraction during current pandemic has been short-term, cyclical nature. Moreover, cycle might have currently achieved a peak area. Hence, risk further, deeper disruptions high, particularly as sovereign/corporate debt crisis were not eventually avoided.