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Flow of conjunctural information and forecast of euro area economic activity

Laurent Maurin and Katja Drechsel
Authors registered in the RePEc Author Service: Katja Heinisch ()

No 925, Working Paper Series from European Central Bank

Abstract: Euro area GDP and components are now-cast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled, using six weighting schemes including Bayesian ones. To take into consideration the release calendar of each indicator, six forecasts are compiled independently during the quarter, each based on different information sets: different indicators, different individual equations and finally different weights to aggregate information. The information content of the various blocks of information at different points in time for each GDP component is then discussed. It appears that taking into account the information flow results in significant changes in the weight allocated to each block of information, especially when the first month of hard data becomes available. This conclusion, reached for all the components and most of the weighting scheme, supports and extends the findings of Giannone, Reichlin and Small (2006) and Banbura and R JEL Classification: C22, C53, E17

Keywords: forecast pooling; GDP components; large dataset; weighting scheme (search for similar items in EconPapers)
Date: 2008-08
Note: 1023237
References: View references in EconPapers View complete reference list from CitEc
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Journal Article: Flow of conjunctural information and forecast of euro area economic activity (2011) Downloads
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