Short-term estimates of euro area real GDP by means of monthly data

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Short-term estimates of euro area real GDP by means of monthly data

Author Info

Gerhard Rünstler () (European Central Bank, Kaiserstrasse 29, D-60311, Frankfurt am Main, Germany.)
Franck Sédillot () (OECD, 2 rue André Pascal, F-75755 Paris Cedex 16.)

Additional information is available for the following registered author(s):

Gerhard Rünstler

Abstract

The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide useful information for predicting euro area real GDP growth over the current and the next quarter. In particular, we investigate the performance of the equations under the case that the monthly indicators are only partially available within the quarter. For this purpose, we use time series models to forecast the missing observations of monthly indicators. We then examine GDP forecasts under different amounts of monthly information. We find that already a limited amount of monthly information improves the predictions for current-quarter GDP growth to a considerable extent, compared with ARIMA forecasts. Equations based on either quantitative activity indicators or the CEPR EuroCOIN composite indicator perform best. JEL Classification: C22; C53.

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Paper provided by European Central Bank in its series Working Paper Series with number 276.

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Length: 32 pages
Date of creation: Sep 2003
Date of revision:
Handle: RePEc:ecb:ecbwps:20030276

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References listed on IDEAS
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Other versions:
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Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Konstantins Benkovskis, 2008. "Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators," Working Papers 2008/05, Latvijas Banka. [Downloadable!]
Maximo Camacho & Gabriel Perez-Quiros, 2008. "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Banco de EspaÃ±a Working Papers 0807, Banco de España. [Downloadable!]
Other versions:
- Camacho, Maximo & Pérez-Quirós, Gabriel, 2009. "Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth," CEPR Discussion Papers 7343, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Barhoumi, K. & Rünstler, G. & Cristadoro, R. & Den Reijer, A. & Jakaitiene, A. & Jelonek, P. & Rua, A. & Ruth, K. & Benk, S. & Van Nieuwenhuyze, C., 2008. "Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise," Documents de Travail 215, Banque de France. [Downloadable!]
Other versions:
- G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2008. "Short-Term Forecasting of GDP Using Large Monthly Datasets: A Presudo Real-Time Forecast Evaluation Exercise," Bank of Lithuania Working Paper Series 1, Bank of Lithuania. [Downloadable!]
- Karim Barhoumi & Szilard Benk & Riccardo Cristadoro & Ard Den Reijer & Audrone Jakaitiene & Piotr Jelonek & António Rua & Gerhard Rünstler & Karsten Ruth & Christophe Van Nieuwenhuyze, 2008. "Short-term forecasting of GDP using large monthly datasets - a pseudo real-time forecast evaluation exercise," Occasional Paper Series 84, European Central Bank. [Downloadable!]
- K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze & G. Rünstler, 2008. "Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise," Research series 200806-17, National Bank of Belgium. [Downloadable!]

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