Short-term forecasts of euro area GDP growth

被引：81

作者：

Angelini, Elena ^{[1
]}

Camba-Mendez, Gonzalo ^{[1
]}

Giannone, Domenico ^{[2
,4
]}

Reichlin, Lucrezia ^{[3
,4
]}

Ruenstler, Gerhard ^{[5
]}

机构：

[1] European Cent Bank, D-60311 Frankfurt, Germany

[2] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium

[3] London Business Sch, London NW1 4SA, England

[4] CEPR, London EC1V 3PZ, England

[5] Austrian Inst Econ Res, A-1030 Vienna, Arsenal, Austria

来源：

ECONOMETRICS JOURNAL | 2011年 / 14卷 / 01期

关键词：

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

D O I：

10.1111/j.1368-423X.2010.00328.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：C25 / C44

页数：20

共 21 条

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