IDEAS home Printed from https://ideas.repec.org/a/cai/ecoldc/ecop_199_0001.html
   My bibliography  Save this article

Prévision à court terme de la croissance du PIB français à l'aide de modèles à facteurs dynamiques

Author

Listed:
  • Marie Bessec
  • Catherine Doz

Abstract

In recent years, central banks and international organizations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large dataset of around one hundred variables including survey balances and real, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start of the quarter. We also show that the inclusion of international and financial variables can improve forecasts at the longest horizons.

Suggested Citation

  • Marie Bessec & Catherine Doz, 2012. "Prévision à court terme de la croissance du PIB français à l'aide de modèles à facteurs dynamiques," Economie & Prévision, La Documentation Française, vol. 0(1), pages 1-30.
  • Handle: RePEc:cai:ecoldc:ecop_199_0001
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_199_0001
    Download Restriction: free

    File URL: http://www.cairn.info/revue-economie-et-prevision-2012-1-page-1.htm
    Download Restriction: free

    Other versions of this item:

    More about this item

    Keywords

    GDP forecast; factor models;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:ecoldc:ecop_199_0001. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire). General contact details of provider: http://www.cairn.info/revue-economie-et-prevision.htm .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.