Short-Term Forecasts of Euro Area GDP Growth

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

No 2008_035, ECARES Working Papers from Université Libre de Bruxelles, Ecares

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: Forecasting; Monetary Policy; Factor Model; Real Time Data; Large data-sets; News (search for similar items in EconPapers)
JEL-codes: E52 C33 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
Date: 2008
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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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Persistent link: http://EconPapers.repec.org/RePEc:eca:wpaper:2008_035

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