Ñ-Sting: España Short Term Indicator of Growth
28 Pages Posted: 23 Jun 2009
Date Written: June 23, 2009
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
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