Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth

Maximo Camacho () and Pérez-Quirós, Gabriel
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 7343, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data set, we show that our simple factor model algorithm, which uses a clear, easy-to-replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters who can combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide examples showing how data revisions and data availability affect point forecasts and forecast uncertainty.

Keywords: Business cycle; Forecasting; Time Series (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (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: 2009-06
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Working Paper: Introducing the EURO-STING: Short Term INdicator of Euro Area Growth (2008)
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