Real-Time Evaluation of GDP in Some Eurozone Countries

36 Pages Posted: 26 Jun 2014

See all articles by Claudia Guagliano

Claudia Guagliano

European Securities and Markets Authority (ESMA)

Cristiano Mantovani

CONSOB (Commissione Nazionale per le Società e la Borsa)

Date Written: June 23, 2014

Abstract

GDP, the key statistics describing the state of the economy, is collected at low frequency, typically on a quarterly basis, and released with a substantial lag. The goal of this paper is to have the most timely and accurate idea about the current real economic activity, measured by the growth rate of GDP, on the basis of all the information that is available. We follow Camacho and Pérez-Quirós (2010) model introducing a simple algorithm which, while forecasting rather well in real time the GDP growth rates, has the advantage of being a transparent and small-scale model, taking into account the data revision procedure used by statistical offices, and addressing all the issues of real-time forecasting (in particular, mixed frequencies and ragged edges). To our knowledge, we are the first to apply the model to the main Eurozone countries: Germany, France, Italy and Spain. Our results show that the model performs well during the sample, both in terms of trend and in terms of magnitude. This paper is part of a project aimed at developing different business cycle indicators to be used in Consob Risk Outlook.

Keywords: Business Cycles, Output Growth, Time Series

JEL Classification: E32, C22, E27

Suggested Citation

Guagliano, Claudia and Mantovani, Cristiano, Real-Time Evaluation of GDP in Some Eurozone Countries (June 23, 2014). CONSOB Working Papers No. 77, Available at SSRN: https://ssrn.com/abstract=2457975 or http://dx.doi.org/10.2139/ssrn.2457975

Claudia Guagliano (Contact Author)

European Securities and Markets Authority (ESMA) ( email )

Paris, 75007
France

Cristiano Mantovani

CONSOB (Commissione Nazionale per le Società e la Borsa) ( email )

Roma 00198
Italy

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