Short-Term Forecasts of Euro Area GDP Growth

20 Pages Posted: 28 Feb 2011

See all articles by Elena Angelini

Elena Angelini

European Central Bank (ECB)

Gonzalo Camba-Mendez

European Central Bank (ECB)

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York; Centre for Economic Policy Research (CEPR)

Lucrezia Reichlin

London Business School; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Centre for Economic Policy Research (CEPR); European Central Bank (ECB)

Gerhard Rnstler

affiliation not provided to SSRN

Multiple version iconThere are 3 versions of this paper

Date Written: February 18, 2011

Abstract

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

Angelini, Elena and Camba-Mendez, Gonzalo and Giannone, Domenico and Reichlin, Lucrezia and Rnstler, Gerhard, Short-Term Forecasts of Euro Area GDP Growth (February 18, 2011). The Econometrics Journal, Vol. 14, Issue 1, pp. C25-C44, 2011. Available at SSRN: https://ssrn.com/abstract=1772388 or http://dx.doi.org/10.1111/j.1368-423X.2010.00328.x

Elena Angelini (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
49 69 1344 7912 (Phone)
44 69 1344 6575 (Fax)

Gonzalo Camba-Mendez

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Lucrezia Reichlin

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium
+32 2 650 4221 (Phone)
+32 2 650 4475 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Gerhard Rnstler

affiliation not provided to SSRN

No Address Available

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