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The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries

Listed author(s):
  • Giuseppe Parigi

    (Bank of Italy, Research Department, Rome, Italy)

  • Roberto Golinelli

    (Department of Economics, University of Bologna, Bologna, Italy)

The delayed release of the National Account data for GDP is an impediment to the early understanding of the economic situation. In the short run, this information gap may be at least partially eliminated by bridge models (BM) which exploit the information content of timely updated monthly indicators. In this paper we examine the forecasting ability of BM for GDP growth in the G7 countries and compare their performance to that of univariate and multivariate statistical benchmark models. We run four alternative one-quarter-ahead forecasting experiments to assess BM performance in situations as close as possible to the actual forecasting activity. BM are estimated for GDP both for single countries (USA, Japan, Germany, France, UK, Italy and Canada), and area-wide (G7, European Union, and Euro area). BM forecasting ability is always superior to that of benchmark models, provided that at least some monthly indicator data are available over the forecasting horizon. Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1007
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 26 (2007)
Issue (Month): 2 ()
Pages: 77-94

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Handle: RePEc:jof:jforec:v:26:y:2007:i:2:p:77-94
DOI: 10.1002/for.1007
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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