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Short‐term forecasts of euro area GDP growth

Elena Angelini, Gonzalo Camba‐Mendez, Domenico Giannone (), Lucrezia Reichlin () and Gerhard Rünstler ()
Authors registered in the RePEc Author Service: Gonzalo Camba-Mendez ()

Econometrics Journal, 2011, vol. 14, C25-C44

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 et al. 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.

Date: 2011
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http://hdl.handle.net/10.1111/ectj.2011.14.issue-1

Related works:
Journal Article: Short‐term forecasts of euro area GDP growth (2011) Downloads
Working Paper: Short-term Forecasts of Euro Area GDP Growth (2008) Downloads
Working Paper: Short-Term Forecasts of Euro Area GDP Growth (2008) Downloads
Working Paper: Short-term forecasts of euro area GDP growth (2008) Downloads
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