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Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Diron, Marie - 2006

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10011604668

A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP

Banbura, Marta; Rünstler, Gerhard - 2007

We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...

Persistent link: https://www.econbiz.de/10011604797

The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models

Darracq Pariès, Matthieu; Maurin, Laurent - 2008

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

Persistent link: https://www.econbiz.de/10011604940

Disagreement among forecasters in G7 countries

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jiri - 2009

Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...

Persistent link: https://www.econbiz.de/10011605128

The role of central bank transparency for guiding private sector forecasts

Ehrmann, Michael; Eijffinger, Sylvester; Fratzscher, Marcel - 2010

There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically...

Persistent link: https://www.econbiz.de/10011605192

Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - 2010

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10011605235

Nowcasting inflation using high frequency data

Modugno, Michele - 2011

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...

Persistent link: https://www.econbiz.de/10011605370

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - 2011

We evaluate forecasts for the euro area in data-rich and ‘data-lean’ environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus...

Persistent link: https://www.econbiz.de/10011605425

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - 2012

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

Persistent link: https://www.econbiz.de/10011605473

Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years

D’Agostino, Antonello; Schnatz, Bernd - 2012

Indices (PMI) in anticipating US real economic activity. We conduct a fully-fledged real-time out-ofsample forecasting … forecasting GDP growth, while it performs quite poorly in anticipating industrial production growth. Combining the information …

Persistent link: https://www.econbiz.de/10011605500

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