Economics at your fingertips  

Tracking the Economy in the Largest Euro Area Countries: a Large Datasets Approach

Riccardo Cristadoro () and Giovanni Veronese ()
Additional contact information
Riccardo Cristadoro: Banca d’Italia
Giovanni Veronese: Banca d’Italia

A chapter in Convergence or Divergence in Europe?, 2006, pp 63-93 from Springer

Abstract: Summary The paper proposes a set of monthly business (growth-) cycle indicators for Germany, France, Italy and the euro area useful for ex post characterization of the cycle, and, most importantly, to assess the current economic outlook. These indicators are projections of quarterly aggregates on the space spanned by a set of regressors extracted from a large panel of monthly series. Being based on static linear combinations of monthly series, they do not suffer from the end-of-sample problem associated with traditional bilateral filters (HP filter). The indicators are used to: (1) study the degree of co-movement and synchronization across economies; (2) derive a dating of the cycle; (3) obtain the ‘stylized’ cyclical facts; (4) assess the predictive content of the panel for GDP growth. The monthly indicators are good forecasters of GDP performing often better than other simple methods. As expected, since the growth cycle indicator is a ‘smoothed’ estimate of the GDP growth, the best forecasts are obtained in terms of year-on-year (rather than quarter-on-quarter) GDP growth.

Keywords: Business cycle; dynamic factor model; business cycle filters; GDP forecast (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This item can be ordered from

DOI: 10.1007/3-540-32611-1_6

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2022-07-05
Handle: RePEc:spr:sprchp:978-3-540-32611-3_6