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Short term forecasts of Euro area GDP growth

Journal

Econometric Journal

Subject

Economics

Publishing details

Econometric Journal 2011 Vol 14-25 44

Authors / Editors

Reichlin L;Angelini E;Camba-Mendez G;Giannone D;Ruensler G

Biographies

Lucrezia Reichlin

Publication Year

2011

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 et al. 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.

Keywords

Factor model; Forecasting; Large data sets; Monetary policy; News; Real-time data

Available on ECCH

No


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