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Predicción en tiempo real del PIB en el área del euro: recientes mejoras en el modelo Euro-STING

Author

Listed:
  • Matías Pacce
  • Gabriel Pérez-Quirós

Abstract

Este artículo resume las mejoras introducidas en el modelo Euro-STING (Euro area, Short-Term INdicator of Growth), que es una herramienta cuantitativa utilizada por el Banco de España para la previsión en tiempo real del PIB del área del euro. Los cambios introducidos son de una triple naturaleza: se incorpora la posibilidad de que las variables utilizadas para la predicción evolucionen de forma no coincidente en el tiempo con el componente común que se identifica; se permite que la varianza de las perturbaciones del componente común varíe en el tiempo, y se evalúa el número de los indicadores cualitativos que se han de utilizar. En conjunto, los cambios introducidos permiten mejorar la capacidad predictiva del modelo, principalmente en el período de recuperación reciente.

Suggested Citation

  • Matías Pacce & Gabriel Pérez-Quirós, 2019. "Predicción en tiempo real del PIB en el área del euro: recientes mejoras en el modelo Euro-STING," Boletín Económico, Banco de España, issue MAR.
    • Handle: RePEc:bde:joures:y:2019:i:3:d:ne:n:3
    Note: Notas Económicas
    as

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    File URL: https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/InformesBoletinesRevistas/NotasEconomicas/19/T1/descargar/Fich/be1901-ne3.pdf
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    More about this item

    Keywords

    ciclo económico; crecimiento; series temporales; previsiones;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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