Debt, Assets, and Imbalances in the Euro Area: An Aggregate View
In: Applied Economics Quarterly, Band 59, Heft 3, S. 209-233
ISSN: 1865-5122
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In: Applied Economics Quarterly, Band 59, Heft 3, S. 209-233
ISSN: 1865-5122
In: Journal of business cycle measurement and analysis: a joint publication of OECD and CIRET, Band 2005, Heft 2, S. 213-247
ISSN: 1729-3626
In: Occassional paper series no 84 (April 2008)
This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small bridge equations and forecast equations in which the bridging between monthly and quarterly data is achieved through a regression on factors extracted from large monthly datasets. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we find that models that exploit monthly information outperform models that use purely quarterly data and, amongst the former, factor models perform best.