Short-term forecasts of euro area GDP growth

Elena Angelini, Camba-Méndez, Gonzalo (), Domenico Giannone (), Gerhard Rünstler () and Lucrezia Reichlin ()
Additional contact information
Camba-Méndez, Gonzalo: European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html
Gerhard Rünstler: European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html

No 949, Working Paper Series from European Central Bank

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. JEL Classification: E52, C33, C53.

Keywords: Forecasting; Monetary Policy; Factor Model; Real Time Data; Large datasets; News. (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: 2008-10

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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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