Introducing the Euro-Sting: Short-Term Indicator of Euro Area Growth

51 Pages Posted: 26 Aug 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

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Date Written: June 2009

Abstract

We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data set, we show that our simple factor model algorithm, which uses a clear, easy-to-replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters who can combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide examples showing how data revisions and data availability affect point forecasts and forecast uncertainty.

Keywords: Business cycle, Forecasting, Time Series

JEL Classification: C22, E27, E32

Suggested Citation

Camacho, Maximo and Perez-Quiros, Gabriel, Introducing the Euro-Sting: Short-Term Indicator of Euro Area Growth (June 2009). CEPR Discussion Paper No. DP7343, Available at SSRN: https://ssrn.com/abstract=1461972

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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