A New Real-Time Indicator for the Euro Area GDP

The paper proposes a new real-time unrevised indicator tracking medium-to-long-term component in the quarterly growth of the euro area GDP. The new indicator is based on recently developed real-time filtration methodology, the multivariate direct filter approach, applied to selected business and consumer survey and share price data. The new indicator is found to have led another established indicator, the Eurocoin, by about three months since mid-2009 and be about coincident with but smoother than the PMI. In addition to the euro area aggregate indicator, the paper presents prototypical indicators for four biggest EU economies – Germany, France, the UK and Italy. Overall, the described filter approach appears to be able to provide somewhat better results in tracking business cycle developments than other widely used approaches.