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Short-Term Forecasts of Euro Area GDP Growth

Elena Angelini, Gonzalo Camba-Mendez (), Domenico Giannone (), Lucrezia Reichlin () and Gerhard Rünstler ()

No ECARES 2008-035, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

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, Reichlin, and Small (2005). 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.

Keywords: Forecasting; Monetary Policy; Factor Model; Real Time Data; Large data-sets; News (search for similar items in EconPapers)
JEL-codes: E52 C33 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
Date: 2008-06
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Related works:
Journal Article: Short‐term forecasts of euro area GDP growth (2011) Downloads
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
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