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Short‐term forecasts of euro area GDP growth

Author

Listed:
  • Elena Angelini
  • Gonzalo Camba‐Mendez
  • Domenico Giannone
  • Lucrezia Reichlin
  • Gerhard Rünstler

Abstract

This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin and Small, 2005. The method consists in bridging quarterly GDP with monthly data via a regression on factors extracted from a large panel of monthly series with different publication lags. We show that bridging via factors produces more accurate estimates than traditional bridge equations. We also show that survey data and other `soft' information are valuable for now-casting.
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Suggested Citation

  • Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 25-44, February.
    • Handle: RePEc:ect:emjrnl:v:14:y:2011:i:1:p:c25-c44
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    File URL: http://hdl.handle.net/10.1111/j.1368-423X.2010.00328.x
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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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