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Monthly forecasting of French GDP: A revised version of the OPTIM model

Author

Listed:
  • Barhoumi, K.
  • Brunhes-Lesage, V.
  • Darné, O.
  • Ferrara, L.
  • Pluyaud, B.
  • Rouvreau, B.

Abstract

This paper presents a revised version of the model OPTIM, proposed by Irac and Sédillot (2002), used at the Banque de France in order to predict French GDP quarterly growth rate, for the current and next quarters. The model is designed to be used on a monthly basis by integrating monthly economic information through bridge models, for both supply and demand sides of GDP. For each GDP component, bridge equations are specified by using a general-to-specific approach implemented in an automated way by Hoover and Perez (1999) and improved by Krolzig and Hendry (2001). This approach allows to select explanatory variables among a large data set of hard and soft data. The final choice of equations relies on a recursive forecast study, which also helps to assess the forecasting performance of the revised OPTIM model in the prediction of aggregated GDP. This study is based on pseudo real-time forecasts taking publication lags into account. It turns out that the model outperforms benchmark models.

Suggested Citation

  • Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.
  • Handle: RePEc:bfr:banfra:222
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    Citations

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    Cited by:

    1. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
    2. Katja Drechsel & Rolf Scheufele, 2012. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," Working Papers 2012-16, Swiss National Bank.
    3. Guido Bulligan & Massimiliano Marcellino & Fabrizio Venditti, 2012. "Forecasting economic activity with higher frequency targeted predictors," Temi di discussione (Economic working papers) 847, Bank of Italy, Economic Research and International Relations Area.
    4. Bulligan, Guido & Marcellino, Massimiliano & Venditti, Fabrizio, 2015. "Forecasting economic activity with targeted predictors," International Journal of Forecasting, Elsevier, vol. 31(1), pages 188-206.
    5. Paulo Soares Esteves & António Rua, 2012. "Short-term forecasting for the portuguese economy: a methodological overview," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
    6. Esteves, Paulo Soares, 2013. "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, vol. 33(C), pages 416-420.
    7. Higgins, Patrick C., 2014. "GDPNow: A Model for GDP "Nowcasting"," FRB Atlanta Working Paper 2014-7, Federal Reserve Bank of Atlanta.
    8. repec:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-016-1218-x is not listed on IDEAS
    9. Robert Lehmann & Klaus Wohlrabe, 2014. "Forecasting gross value-added at the regional level: are sectoral disaggregated predictions superior to direct ones?," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 34(1), pages 61-90, February.
    10. Ferrara, L., 2008. "The contribution of cyclical turning point indicators to business cycle analysis," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 49-61, Autumn.
    11. Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d’accélération pour l’économie française," Économie et Prévision, Programme National Persée, vol. 189(3), pages 95-114.
    12. Marie Bessec, 2010. "Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Économie et Prévision, Programme National Persée, vol. 193(2), pages 77-99.
    13. Barhoumi, K. & Brunhes-Lesage, V. & Ferrara, L. & Pluyaud, B. & Rouvreau, B. & Darné, O., 2008. "OPTIM: a quarterly forecasting tool for French GDP," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 31-47, Autumn.
    14. Tomasz Jasiński & Paweł Mielcarz, 2013. "Consumption as a Factor of Polish Economic Growth During the Global Recession of 2008/2009: A Comparison with Spain and Hungary," Contemporary Economics, University of Finance and Management in Warsaw, vol. 7(2), June.
    15. repec:dau:papers:123456789/10079 is not listed on IDEAS

    More about this item

    Keywords

    GDP forecasting ; Bridge models ; General-to-specific approach;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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