Short-Term Forecasts of Euro Area GDP Growth
20 Pages Posted: 28 Feb 2011
Date Written: February 18, 2011
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 et al. 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: Factor model, Forecasting, Large data sets, Monetary policy, News, Real-time data
Suggested Citation: Suggested Citation