Real-Time Regional GDP Forecasting: Statistical Aspects and a Forecasting Model

11 Pages Posted: 18 Dec 2019

See all articles by Concha Artola

Concha Artola

Banco de España - Servicio de Estudios

Maria Gil

Banco de España

Danilo Leiva-Leon

Banco de España

Javier J. Pérez

Banco de España - Research Department

Alberto Urtasun

Banco de España

Date Written: June 4, 2019

Abstract

The monitoring of the regional economic situation takes on particular importance in highly decentralised countries, such as Spain. Against this background, this article summarises the key aspects of the BayFaR model (Bayesian Factor model for Regions), a new tool used by the Banco de España for the short-term forecasting of the GDP of the Spanish economy and of its biggest regions. The tool allows monthly indicators of activity to be combined with quarterly GDP, the benchmark variable for conjunctural analysis. In Spain’s case, however, it is necessary to use alternative measures of this variable. This is because the official statistics do not provide a homogeneous measure for all the regions, nor one that is consistent with INE’s national quarterly GDP.

Keywords: regional economic activity, nowcasting, dynamic factor model

JEL Classification: C32, E37, R13

Suggested Citation

Artola, Concha and Gil, Maria and Leiva-Leon, Danilo and Perez, Javier J. and Urtasun, Alberto, Real-Time Regional GDP Forecasting: Statistical Aspects and a Forecasting Model (June 4, 2019). Banco de Espana Article 17/19, Available at SSRN: https://ssrn.com/abstract=3505997

Concha Artola (Contact Author)

Banco de España - Servicio de Estudios ( email )

28027 Madrid
Spain
(34) 91-338-5127 (Phone)
(34) 91-338-6041 (Fax)

Maria Gil

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Danilo Leiva-Leon

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Javier J. Perez

Banco de España - Research Department ( email )

Alcala 50
28014 Madrid
Spain

HOME PAGE: http://www.bde.es/investigador/staff/95.htm

Alberto Urtasun

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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