Monthly Forecasting of French GDP: A Revised Version of the Optim Model

49 Pages Posted: 17 Sep 2010

See all articles by Barhoumi Karim

Barhoumi Karim

Banque de France - Economic Study and Research Division

Véronique Brunhes-Lesage

Banque de France

Olivier Darné

University of Nantes - Faculty of Business and Economics

Laurent Ferrara

SKEMA Business School; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA); Université Paris Ouest - Nanterre, La Défense - EconomiX

Bertrand Pluyaud

Banque de France

Béatrice Rouvreau

Banque de France

Date Written: September 1, 2008

Abstract

This paper presents a revised version of the model OPTIM, proposed by Irac and Sédillot (2002), used at the Banque de France in order to predict French GDP quarterly growth rate, for the current and next quarters. The model is designed to be used on a monthly basis by integrating monthly economic information through bridge models, for both supply and demand sides of GDP. For each GDP component, bridge equations are specified by using a general-to-specific approach implemented in an automated way by Hoover and Perez (1999) and improved by Krolzig and Hendry (2001). This approach allows to select explanatory variables among a large data set of hard and soft data. The final choice of equations relies on a recursive forecast study, which also helps to assess the forecasting performance of the revised OPTIM model in the prediction of aggregated GDP. This study is based on pseudo real-time forecasts taking publication lags into account . It turns out that the model outperforms benchmark models.

Keywords: GDP forecasting, Bridge models, General-to-specific approach

JEL Classification: C52, C53, E20

Suggested Citation

karim, barhoumi and Brunhes-Lesage, Véronique and Darné, Olivier and Ferrara, Laurent and Pluyaud, Bertrand and Rouvreau, Béatrice, Monthly Forecasting of French GDP: A Revised Version of the Optim Model (September 1, 2008). Banque de France Working Paper No. 222, Available at SSRN: https://ssrn.com/abstract=1678444 or http://dx.doi.org/10.2139/ssrn.1678444

Barhoumi Karim (Contact Author)

Banque de France - Economic Study and Research Division ( email )

31, rue Croix des Petits Champs
75049 Paris Cedex 01
FRANCE

Véronique Brunhes-Lesage

Banque de France ( email )

Paris
France

Olivier Darné

University of Nantes - Faculty of Business and Economics ( email )

Nantes
France

Laurent Ferrara

SKEMA Business School ( email )

Paris la Défense, 92916
France

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Université Paris Ouest - Nanterre, La Défense - EconomiX ( email )

200 Avenue de la République
92000

Bertrand Pluyaud

Banque de France ( email )

Paris
France

Béatrice Rouvreau

Banque de France ( email )

Paris
France

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