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The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries

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Author Info

  • Giuseppe Parigi

    (Bank of Italy, Research Department, Rome, Italy)

  • Roberto Golinelli

    (Department of Economics, University of Bologna, Bologna, Italy)

Abstract

The delayed release of the National Account data for GDP is an impediment to the early understanding of the economic situation. In the short run, this information gap may be at least partially eliminated by bridge models (BM) which exploit the information content of timely updated monthly indicators. In this paper we examine the forecasting ability of BM for GDP growth in the G7 countries and compare their performance to that of univariate and multivariate statistical benchmark models. We run four alternative one-quarter-ahead forecasting experiments to assess BM performance in situations as close as possible to the actual forecasting activity. BM are estimated for GDP both for single countries (USA, Japan, Germany, France, UK, Italy and Canada), and area-wide (G7, European Union, and Euro area). BM forecasting ability is always superior to that of benchmark models, provided that at least some monthly indicator data are available over the forecasting horizon.  Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1007
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 26 (2007)
Issue (Month): 2 ()
Pages: 77-94

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Handle: RePEc:jof:jforec:v:26:y:2007:i:2:p:77-94

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Cited by:
  1. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  2. Busetti, Fabio & Marcucci, Juri, 2013. "Comparing forecast accuracy: A Monte Carlo investigation," International Journal of Forecasting, Elsevier, vol. 29(1), pages 13-27.
  3. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
  4. Anna Norin, 2011. "Nowcasting of the Gross Regional Product," ERSA conference papers ersa10p768, European Regional Science Association.
  5. repec:onb:oenbwp:y::i:163:b:1 is not listed on IDEAS
  6. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
  7. Klaus Wohlrabe, 2009. "Makroökonomische Prognosen mit gemischten Frequenzen," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(21), pages 22-33, November.
  8. Claudia Godbout & Marco J. Lombardi, 2012. "Short-Term Forecasting of the Japanese Economy Using Factor Models," Working Papers 12-7, Bank of Canada.
  9. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
  10. Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007. "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," Ifo Working Paper Series Ifo Working Paper No. 46, Ifo Institute for Economic Research at the University of Munich.
  11. Hamid Baghestani, 2009. "Evaluating random walk forecasts of exchange rates," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(3), pages 171-181, August.
  12. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  13. repec:ecb:ecbwps:20111428 is not listed on IDEAS
  14. Roberto Golinelli & Giuseppe Parigi, 2013. "Tracking world trade and GDP in real time," Temi di discussione (Economic working papers) 920, Bank of Italy, Economic Research and International Relations Area.
  15. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.

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