Forecasting industrial production in the Euro area

Giuseppe Parigi, Roberto Golinelli and Giorgio Bodo ()
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Giorgio Bodo: Group Treasurer Fiat Spa, Via Nizza 250, 10126 Torino, Italy

Empirical Economics, 2000, vol. 25, issue 4, 561 pages

Abstract: The creation of the Euro area has increased the importance of obtaining timely information about short-term changes in the area's real activity. In this paper we propose a number of alternative short term forecasting models, ranging from simple ARIMA models to more complex cointegrated VAR and conditional models, to forecast the index of industrial production in the euro area. A conditional error-correction model in which the aggregate index of industrial production for the area is explained by the US industrial production index and the business confidence index from the European Commission harmonised survey on manufacturing firms achieves the best score in terms of forecasting capacity.

Keywords: Forecasts; comparison; ·; alternative; models; ·; conditional; ECM (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2001-01-10
Note: received: Jan. 2000/Final version received: March 2000
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Citations: View citations in EconPapers (4)

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Working Paper: Forecasting Industrial Production in the Euro Area (2000)
Working Paper: Forecasting Industrial Production in the Euro Area (2000)
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