Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data

34 Pages Posted: 20 Jan 2004

See all articles by Franck Sédillot

Franck Sédillot

Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO)

Gerhard Rünstler

European Central Bank

Date Written: September 2003

Abstract

The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide useful information for predicting euro area real GDP growth over the current and the next quarter.

In particular, we investigate the performance of the equations under the case that the monthly indicators are only partially available within the quarter. For this purpose, we use time series models to forecast the missing observations of monthly indicators. We then examine GDP forecasts under different amounts of monthly information. We find that already a limited amount of monthly information improves the predictions for current-quarter GDP growth to a considerable extent, compared with ARIMA forecasts.

Keywords: Conjunctural analysis, bridge equations, incomplete monthly information

JEL Classification: C22, C53

Suggested Citation

Sédillot, Franck and Rünstler, Gerhard, Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data (September 2003). Available at SSRN: https://ssrn.com/abstract=487415 or http://dx.doi.org/10.2139/ssrn.487415

Franck Sédillot

Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO) ( email )

2 rue Andre Pascal
Paris Cedex 16, MO 63108
France

Gerhard Rünstler (Contact Author)

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany