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

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Author Info
Bruno Giancarlo (ISAE - Institute for Studies and Economic Analyses)
Lupi Claudio () (University of Molise, Dept. SEGeS, Faculty of Economics)

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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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Publisher Info
Paper provided by ISAE - Institute for Studies and Economic Analyses - (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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Related research
Keywords: Forecasting; VAR models; Industrial production; Cyclical Analysis;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

References listed on IDEAS
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.:

  1. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-38, May. [Downloadable!] (restricted)
  2. 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.
  3. Batchelor, R. A., 1981. "Aggregate expectations under the stable laws," Journal of Econometrics, Elsevier, vol. 16(2), pages 199-210, June. [Downloadable!] (restricted)
  4. 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 Department. [Downloadable!]
  5. Foster, John & Gregory, Mary, 1977. "Inflation Expectations: The Use of Qualitative Survey Data," Applied Economics, Taylor and Francis Journals, vol. 9(4), pages 319-29, December.
  6. 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. [Downloadable!] (restricted)
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  7. 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. [Downloadable!] (restricted)
  8. Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000. "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers) 370, Bank of Italy, Economic Research Department. [Downloadable!]
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  9. 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.
  10. 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 Department. [Downloadable!]
  11. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41. [Downloadable!]
  12. 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. [Downloadable!] (restricted)
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  13. 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. [Downloadable!] (restricted)
  14. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Forecasting UK Industrial Production over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-24, September.
    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.)

  1. 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. [Downloadable!]
  2. Marco Malgarini & Patrizia Margani & Bianca Maria Martelli, 2005. "Re-engineering the ISAE manufacturing survey," ISAE Working Papers 47, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  3. Javier Jareño, 2007. "Opinion-based surveys in the conjunctural analysis of the Spanish economy," Banco de España Occasional Papers 0706, Banco de España. [Downloadable!]
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