Forecasting Industrial Production in the Euro Area

Giorgio Bodo, Roberto Golinelli and Giuseppe Parigi
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Giorgio Bodo: Fiat

No 370, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

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.

Date: 2000-03
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Citations: View citations in EconPapers (43)

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Related works:
Journal Article: Forecasting industrial production in the Euro area (2000)
Working Paper: Forecasting Industrial Production in the Euro Area (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_370_00

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