Forecasting Industrial Production in the Euro Area

Posted: 1 May 2001

See all articles by Giorgio Bodo

Giorgio Bodo

Group Treasurer Fiat Spa

Roberto Golinelli

University of Bologna - Department of Economics

Giuseppe Parigi

Bank of Italy

Abstract

The creation of the Euro area has increased the importance of obtaining timely information about short-term changes in the area's real activity. In this paper we propose a number of alternative short term forecasting models, ranging from simple ARIMA models to more complex cointegrated VAR and conditional models, to forecast the index of industrial production in the euro area. A conditional error-correction model in which the aggregate index of industrial production for the area is explained by the US industrial production index and the business confidence index from the European Commission harmonised survey on manufacturing firms achieves the best score in terms of forecasting capacity.

Keywords: Forecasts comparison, alternative models, conditional ECM

JEL Classification: C53, C22

Suggested Citation

Bodo, Giorgio and Golinelli, Roberto and Parigi, Giuseppe, Forecasting Industrial Production in the Euro Area. Available at SSRN: https://ssrn.com/abstract=256693

Giorgio Bodo (Contact Author)

Group Treasurer Fiat Spa ( email )

Via Nizza 250
10126 Torino
Italy

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

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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