Short-term Forecasts of Euro Area GDP Growth

Elena Angelini, Camba-Mendez, Gonzalo, Domenico Giannone (), Lucrezia Reichlin () and Gerhard Rünstler ()

No 6746, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin and Small, 2005. The method consists in bridging quarterly GDP with monthly data via a regression on factors extracted from a large panel of monthly series with different publication lags. We show that bridging via factors produces more accurate estimates than traditional bridge equations. We also show that survey data and other `soft' information are valuable for now-casting.

Keywords: Factor Model; Forecasting; Large data-sets; Monetary Policy; News; Real Time Data (search for similar items in EconPapers)
JEL-codes: C33 C53 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-for and nep-mac
Date: 2008-03
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Related works:
Working Paper: Short-term forecasts of euro area GDP growth (2008)
Working Paper: Short-Term Forecasts of Euro Area GDP Growth (2008)
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