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

Author

Listed:
  • Marie Bessec

    (CGEMP - Université Paris-Dauphine)

  • Catherine Doz

    () (CES - Centre d'économie de la Sorbonne - CNRS - Centre National de la Recherche Scientifique - UP1 - Université Panthéon-Sorbonne, PSE - Paris School of Economics)

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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01070897, HAL.
  • Handle: RePEc:hal:cesptp:hal-01070897
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01070897
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