Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth

Pablo Burriel () and María Isabel García-Belmonte
Additional contact information
María Isabel García-Belmonte: Banco de España

No 1323, Working Papers from Banco de España

Abstract: In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information available for the euro area and the member countries (around 100 economic indicators), but without incurring in the nite sample problems of the large-scale methods, since all the estimated models are of a small scale. An empirical pseudo-real time application for the period 2004-2013 shows that D€STINY´s forecasting performance is clearly better than the standard alternative models and than the publicly available forecasts of other institutions. This is especially true for the period since the beginning of the crisis, which suggests that our approach may be more robust to periods of highly volatile data and to the possible presence of structural breaks in the sample.

Keywords: business cycles; output growth; time series; Euro-STING model; large-scale model (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2013-12
New Economics Papers: this item is included in nep-eec, nep-fdg, nep-for, nep-mac and nep-ore
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /13/Fich/dt1323e.pdf First version, December 2013 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1323

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().