Un indicateur de croissance à court terme aux États-Unis

Françoise Charpin

Revue de l'OFCE, 2001, vol. 79, issue 4, 171-189

Abstract: The paper shows how to exploit monthly data to forecast the growth of real GDP over the two next quarters. We first notice that the well-known coincident and leading composite indicators don?t permit to obtain a reliable forecast, which is not surprising because they have not been built for that. On the other hand, it is possible to use monthly coincident and leading series, especially those entering these composite indicators, to forecast GDP growth using econometric relations. The procedure consists of two steps. First, we estimate an equation giving the quarterly GDP growth according to coincident and leading series. Second, we estimate monthly VAR models to forecast the coincident variables and the leading ones the lead of which is less than six months. We verify that the instrument would have produced acceptable forecasts over the last ten quarters.

Date: 2001
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