Tracking World Trade and GDP in Real Time

46 Pages Posted: 16 Jul 2013

See all articles by Roberto Golinelli

Roberto Golinelli

University of Bologna - Department of Economics

Giuseppe Parigi

Bank of Italy

Date Written: July 12, 2013

Abstract

This paper proposes a simple procedure to obtain monthly assessments of short-run perspectives for quarterly world GDP and trade. It combines emerging and advanced countries’ high frequency information to explain quarterly national accounts variables through bridge models. The union of all bridge equations leads to our world bridge model (WBM). The WBM econometric approach is new for two reasons: its equations combine traditional short-run bridging with theoretical level-relationships; it is the first time that forecasts of world GDP and trade are computed for advanced and emerging countries on the basis of a real-time database of 7,000 time series. Although the performance of the equations that are automatically searched for should be taken as a lower bound, results show a better WBM forecasting ability than the benchmark case and confirm the usefulness of combining WBM real-time forecasts with preliminary releases to improve the prediction of world trade. Finally, we show that the (unrealistic) use of revised data leads to a systematic overstatement of model forecasting performance.

Keywords: world trade and GDP forecasts, augmented bridge models, real-time data, forecasting ability

JEL Classification: C53, C22, E37, F47

Suggested Citation

Golinelli, Roberto and Parigi, Giuseppe, Tracking World Trade and GDP in Real Time (July 12, 2013). Bank of Italy Temi di Discussione (Working Paper) No. 920, Available at SSRN: https://ssrn.com/abstract=2293859 or http://dx.doi.org/10.2139/ssrn.2293859

Roberto Golinelli

University of Bologna - Department of Economics ( email )

Strada Maggiore 45
Bologna, 40125
Italy
+39 051 209 2638 (Phone)
+39 051 209 2664 (Fax)

Giuseppe Parigi (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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