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Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data

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  • Bruno Giancarlo

    (ISAE - Institute for Studies and Economic Analyses)

  • Lupi Claudio

    ()
    (University of Molise, Dept. SEGeS, Faculty of Economics)

Abstract

In this paper we propose a relatively simple procedure to predict Euro-zone industrial production using mostly data derived from the business surveys of the three major economies within the European Monetary Union (France, Germany, and Italy). The basic idea is that of estimating business cyclical indicators to be used as predictors for the industrial production in France and Germany; as far as Italy is concerned, forecasts are produced using a model that in the recent past proved to be able to produce accurate forecasts up to six months ahead. In order to derive quantitative predictors from the business surveys data and to aggregate the nation-wide forecast into the Euro-zone forecast, we propose using an approach based on dynamic factors and unobserved components models. The resulting forecasts are accurate up to six steps ahead.

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Bibliographic Info

Paper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 33.

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Length: 24 pages
Date of creation: Mar 2003
Date of revision:
Handle: RePEc:isa:wpaper:33

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Keywords: Forecasting; VAR models; Industrial production; Cyclical Analysis;

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References

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  1. Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000. "Forecasting industrial production in the Euro area," Empirical Economics, Springer, vol. 25(4), pages 541-561.
  2. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
  3. Garcia-Ferrer, Antonio & Bujosa-Brun, Marcos, 2000. "Forecasting OECD industrial turning points using unobserved components models with business survey data," International Journal of Forecasting, Elsevier, vol. 16(2), pages 207-227.
  4. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
  5. Catherine DOZ & Fabrice LENGLART, 1999. "Analyse factorielle dynamique : test du nombre de facteurs, estimation et application à l'enquête de conjoncture dans l'industrie," Annales d'Economie et de Statistique, ENSAE, issue 54, pages 91-127.
  6. Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
  7. G. Cainelli & C. Lupi, 1998. "Aggregazione contemporanea e specificazione econometrica nella stima trimestrale dei conti economici nazionali," Working Papers 319, Dipartimento Scienze Economiche, Universita' di Bologna.
  8. Batchelor, R. A., 1981. "Aggregate expectations under the stable laws," Journal of Econometrics, Elsevier, vol. 16(2), pages 199-210, June.
  9. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
  10. Bruno Giancarlo & Lupi Claudio, 2001. "Forecasting Industrial Production and the Early Detection of Turning POints," ISAE Working Papers 20, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  11. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-38, May.
  12. James Mitchell & Richard J. Smith & Martin R. Weale, 2002. "Quantification of Qualitative Firm-Level Survey Data," Economic Journal, Royal Economic Society, vol. 112(478), pages C117-C135, March.
  13. Bergstrom, Reinhold, 1995. "The relationship between manufacturing production and different business survey series in Sweden 1968-;1992," International Journal of Forecasting, Elsevier, vol. 11(3), pages 379-393, September.
  14. Roberta Zizza, 2002. "Forecasting the industrial production index for the euro area through forecasts for the main countries," Temi di discussione (Economic working papers) 441, Bank of Italy, Economic Research and International Relations Area.
  15. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research and International Relations Area.
  16. Brunello, Giorgio & Lupi, Claudio & Ordine, Patrizia, 2000. "Regional Disparities and the Italian NAIRU," Oxford Economic Papers, Oxford University Press, vol. 52(1), pages 146-77, January.
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Cited by:
  1. Marco Malgarini & Patrizia Margani & Bianca Maria Martelli, 2005. "Re-engineering the ISAE manufacturing survey," ISAE Working Papers 47, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  2. Aleksejs Melihovs & Svetlana Rusakova, 2005. "Short-Term Forecasting of Economic Development in Latvia Using Business and Consumer Survey Data," Working Papers 2005/04, Latvijas Banka.
  3. Javier Jareño, 2007. "Opinion-based surveys in the conjunctural analysis of the Spanish economy," Banco de Espa�a Occasional Papers 0706, Banco de Espa�a.

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