Short-term Forecasts of Euro Area GDP Growth
31 Pages Posted: 16 Nov 2008
There are 3 versions of this paper
Short-term Forecasts of Euro Area GDP Growth
Short-Term Forecasts of Euro Area GDP Growth
Short-Term Forecasts of Euro Area GDP Growth
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
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)
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