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An indicator-based short-term forecast for quarterly GDP in the euro area

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  • Peter Grasmann
  • Filip Keereman
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    Abstract

    This paper discusses an approach to estimate euro area GDP quarterly growth over two quarters ahead. The estimates are derived from separate single equations for each quarter to be forecast using OLS including a moving error term. The explanatory variables describe real economic activity or its assessment in opinion surveys, and financial variables, both of the euro area and the US. The euro area opinion survey variables are the present business situation in the retail sector and the construction confidence indicator, while the US National Association of Purchasing Managers index of the manufacturing industry reflects the importance of international economic links. There are two financial variables. First, the relative yield spread between the euro area and the US. Second, the real effective exchange rate is an indication of the competitive position of euro area exporters

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    File URL: http://ec.europa.eu/economy_finance/publications/publication934_en.pdf
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    Bibliographic Info

    Paper provided by Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission in its series European Economy - Economic Papers with number 154.

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    Length: 35 pages
    Date of creation: Jun 2001
    Date of revision:
    Handle: RePEc:euf:ecopap:0154

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    Related research

    Keywords: euro; quaterly forecast; GDP;

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    Cited by:
    1. Daniel Leigh & Marco Rossi, 2002. "Leading Indicators of Growth and Inflation in Turkey," IMF Working Papers 02/231, International Monetary Fund.
    2. Silgoner, Maria Antoinette, 2005. "An Overview of European Economic Indicators: Great Variety of Data on the Euro Area, Need for More Extensive Coverage of the New EU Member States," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 66–89.
    3. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
    4. Christian Schumacher & Christian Dreger, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(6), pages 731-750, November.
    5. Claveria, Oscar & Pons, Ernest & Ramos, Raul, 2007. "Business and consumer expectations and macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 47-69.
    6. Esteves, Paulo Soares, 2013. "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, vol. 33(C), pages 416-420.
    7. Kai Carstensen & Steffen Henzel & Johannes Mayr & Klaus Wohlrabe, 2009. "IFOCAST: Methoden der ifo-Kurzfristprognose," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(23), pages 15-28, December.
    8. Hervé Péléraux & Eric Heyer, 2004. "Un indicateur de croissance infra-annuelle pour l'économie française," Sciences Po publications info:hdl:2441/1926, Sciences Po.
    9. 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.
    10. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
    11. Darné, O. & Brunhes-Lesage, V., 2007. "L’indicateur synthétique mensuel d’activité (ISMA) : une révision," Bulletin de la Banque de France, Banque de France, issue 162, pages 21-36.
    12. Perez, Javier J., 2007. "Leading indicators for euro area government deficits," International Journal of Forecasting, Elsevier, vol. 23(2), pages 259-275.
    13. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany.

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