Short-term Forecasts of Euro Area GDP Growth

Angelini, Elena; Camba-Mendez, Gonzalo; Giannone, Domenico; Reichlin, Lucrezia; Rünstler, Gerhard

Short-term Forecasts of Euro Area GDP Growth

ECB Working Paper No. 949

31 Pages Posted: 16 Nov 2008

See all articles by Elena Angelini

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York; Centre for Economic Policy Research (CEPR)

London Business School; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Centre for Economic Policy Research (CEPR); European Central Bank (ECB)

Gerhard Rünstler

European Central Bank

There are 3 versions of this paper

Date Written: October 28, 2008

Abstract

This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin, and Small (2005). The method consists in bridging quarterly GDP with monthly data via a regression on factors extracted from a large panel of monthly series with different publication lags. We show that bridging via factors produces more accurate estimates than traditional bridge equations. We also show that survey data and other 'soft' information are valuable for now-casting.

Keywords: Forecasting, Monetary Policy, Factor Model, Real Time Data, Large datasets, News

JEL Classification: E52, C33, C53

Suggested Citation: Suggested Citation

Angelini, Elena and Camba-Mendez, Gonzalo and Giannone, Domenico and Reichlin, Lucrezia and Rünstler, Gerhard, Short-term Forecasts of Euro Area GDP Growth (October 28, 2008). ECB Working Paper No. 949. Available at SSRN: https://ssrn.com/abstract=1275821

Elena Angelini (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
49 69 1344 7912 (Phone)
44 69 1344 6575 (Fax)

Gonzalo Camba-Mendez

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Lucrezia Reichlin

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium
+32 2 650 4221 (Phone)
+32 2 650 4475 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Gerhard Rünstler

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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