Ñ-Sting: España Short Term Indicator of Growth

28 Pages Posted: 23 Jun 2009

See all articles by Maximo Camacho

Maximo Camacho

Autonomous University of Barcelona - Department of Economics; Universidad de Murcia - Departamento de Metodos Cuantitativos

Gabriel Perez-Quiros

Banco de España

Date Written: June 23, 2009

Abstract

We develop a dynamic factor model to compute short term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which works well as an indicator of the business cycle conditions in Spain. To examine its real time forecasting accuracy, we use real-time data vintages from 2008.02 through 2009.01. We conclude that the model exhibits good forecasting performance in anticipating the recent and sudden downturn.

Keywords: Business Cycles, Output Growth, Time Series

JEL Classification: E32, C22, E27

Suggested Citation

Camacho, Maximo and Perez-Quiros, Gabriel, Ñ-Sting: España Short Term Indicator of Growth (June 23, 2009). Banco de Espana Working Paper No. 0912, Available at SSRN: https://ssrn.com/abstract=1424346 or http://dx.doi.org/10.2139/ssrn.1424346

Maximo Camacho (Contact Author)

Autonomous University of Barcelona - Department of Economics ( email )

Avda. Diagonal 690
Barcelona, 08034
Spain

Universidad de Murcia - Departamento de Metodos Cuantitativos ( email )

Campus de Espinardo
30100 Murcia
Spain
+34 968 367 982 (Phone)

Gabriel Perez-Quiros

Banco de España ( email )

Madrid 28014
Spain

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