IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-540-32611-3_6.html
   My bibliography  Save this book chapter

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

In: Convergence or Divergence in Europe?

Author

Listed:
  • Riccardo Cristadoro

    (Banca d’Italia)

  • Giovanni Veronese

    (Banca d’Italia)

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.

Suggested Citation

  • Riccardo Cristadoro & Giovanni Veronese, 2006. "Tracking the Economy in the Largest Euro Area Countries: a Large Datasets Approach," Springer Books, in: Convergence or Divergence in Europe?, pages 63-93, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-32611-3_6
    DOI: 10.1007/3-540-32611-1_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-540-32611-3_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.