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Real-time GDP forecasting in the euro area

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Author Info

  • Alberto Baffigi

    ()
    (Bank of Italy, Economic Research Department)

  • Roberto Golinelli

    (University of Bologna, Department of Economics)

  • Giuseppe Parigi

    ()
    (Bank of Italy, Economic Research Department)

Abstract

Quantitative information on the current state of the economy is crucial to economic policy-making, but the quarterly national accounts data for GDP in the euro area are released with a significant delay. This paper presents alternative models for the real-time forecasting of euro area GDP and assesses their performance. We estimate univariate/multivariate statistical models, bridge models (systems of autoregressive distributed lags equations with indicators) and a small structural model. The models are estimated for aggregate GDP and components both area-wide and for the three main countries. They are estimated and tested for the period 1980-1999. Data from 1999 to 2001 are used to compare the forecasting ability, gauged by rolling-origin one-step-ahead errors.

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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 456.

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Date of creation: Dec 2002
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Handle: RePEc:bdi:wptemi:td_456_02

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Related research

Keywords: short-term GDP forecast; bridge model; out-of-sample forecasting accuracy;

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References

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Citations

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Cited by:
  1. Paulo Soares Esteves, 2011. "Direct vs bottom-up approach when forecasting GDP: reconciling literature results with institutional practice," Working Papers w201129, Banco de Portugal, Economics and Research Department.
  2. 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.
  3. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 0276, European Central Bank.
  4. Bruno, Giancarlo & Lupi, Claudio, 2003. "Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data," MPRA Paper 42332, University Library of Munich, Germany.
  5. Paolo Angelini & Paolo Del Giovane & Stefano Siviero & Daniele Terlizzese, 2002. "Monetary Policy Rules for the Euro Area: What Role for National Information?," Temi di discussione (Economic working papers) 457, Bank of Italy, Economic Research and International Relations Area.
  6. Giacomo Sbrana, 2007. "Testing for Model Selection in Predicting Aggregate Variables," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 66(1), pages 3-28, March.
  7. Emilia Bonaccorsi di Patti & Giorgio Gobbi, 2003. "The effects of bank mergers on credit availability: evidence from corporate data," Temi di discussione (Economic working papers) 479, Bank of Italy, Economic Research and International Relations Area.

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