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Ñ-STING: España Short Term INdicator of Growth

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  • Maximo Camacho

    ()
    (Universidad de Murcia)

  • Gabriel Perez-Quiros

    ()
    (Banco de España)

Abstract

We develop a dynamic factor model to compute short term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which works well as an indicator of the business cycle conditions in Spain. To examine its real time forecasting accuracy, we use real-time data vintages from 2008.02 through 2009.01. We conclude that the model exhibits good forecasting performance in anticipating the recent and sudden downturn.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/09/Fic/dt0912e.pdf
File Function: First version, June 2009
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0912.

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Length: 28 pages
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:bde:wpaper:0912

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Keywords: Business Cycles; Output Growth; Time Series;

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References

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  1. Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gian Luigi & Proietti, Tommaso, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7007, C.E.P.R. Discussion Papers.
  2. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-Time Measurement of Business Conditions," NBER Working Papers 14349, National Bureau of Economic Research, Inc.
  3. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
  4. Tommaso Proietti & Filippo Moauro, 2006. "Dynamic factor analysis with non-linear temporal aggregation constraints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, Royal Statistical Society, vol. 55(2), pages 281-300.
  5. Banbura, Marta & Rünstler, Gerhard, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series, European Central Bank 0751, European Central Bank.
  6. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, Elsevier, vol. 24(4), pages 507-531, December.
  7. Camacho, Maximo & Pérez-Quirós, Gabriel, 2009. "Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7343, C.E.P.R. Discussion Papers.
  8. Israel Sancho & maximo Camacho, 2002. "Spanish diffusion indexes," Computing in Economics and Finance 2002, Society for Computational Economics 276, Society for Computational Economics.
  9. Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 304-317, October.
  10. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
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Cited by:
  1. Piotr Białowolski & Tomasz Kuszewski & Bartosz Witkowski, 2010. "Business Survey Data in Forecasting Macroeconomic Indicators with Combined Forecasts," Contemporary Economics, University of Finance and Management in Warsaw, University of Finance and Management in Warsaw, vol. 4(4), December.
  2. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," BORRADORES DE ECONOMIA 009827, BANCO DE LA REPÚBLICA.
  3. Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth, 2010. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Working Papers, Czech National Bank, Research Department 2010/12, Czech National Bank, Research Department.
  4. Stéphanie Guichard & Elena Rusticelli, 2011. "A Dynamic Factor Model for World Trade Growth," OECD Economics Department Working Papers 874, OECD Publishing.
  5. Gonzalo Echavarría M. & Wildo González P, 2011. "Un Modelo de Factores Dinámicos de Pequeña Escala para el Imacec," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 14(2), pages 109-118, August.

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