Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data

Giancarlo Bruno () and Claudio Lupi ()

No 33, ISAE Working Papers from ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY)

Abstract: In this paper we propose a relatively simple procedure to predict Euro-zone industrial production using mostly data derived from the business surveys of the three major economies within the European Monetary Union (France, Germany, and Italy). The basic idea is that of estimating business cyclical indicators to be used as predictors for the industrial production in France and Germany; as far as Italy is concerned, forecasts are produced using a model that in the recent past proved to be able to produce accurate forecasts up to six months ahead. In order to derive quantitative predictors from the business surveys data and to aggregate the nation-wide forecast into the Euro-zone forecast, we propose using an approach based on dynamic factors and unobserved components models. The resulting forecasts are accurate up to six steps ahead.

Keywords: Forecasting; VAR models; Industrial production; Cyclical Analysis (search for similar items in EconPapers)
JEL-codes: C53 C32 E32 (search for similar items in EconPapers)
Date: 2003-03
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Persistent link: http://EconPapers.repec.org/RePEc:isa:wpaper:33

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