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Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth

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  • Camacho, Maximo
  • Pérez-Quirós, Gabriel

Abstract

We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data set, we show that our simple factor model algorithm, which uses a clear, easy-to-replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters who can combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide examples showing how data revisions and data availability affect point forecasts and forecast uncertainty.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 7343.

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Date of creation: Jun 2009
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Handle: RePEc:cpr:ceprdp:7343

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Keywords: Business cycle; Forecasting; Time Series;

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