Short-Term Forecasting: Projecting Italian GDP, One Quarter to Two Years Ahead

23 Pages Posted: 31 Jan 2006

See all articles by Matteo Iacoviello

Matteo Iacoviello

Board of Governors of the Federal Reserve System

Date Written: August 2001

Abstract

This paper presents a bridge model for short-run (one or two quarters ahead) forecasting of Italian GDP, relying on industrial production and survey indicators as key variables that can help in providing a real-time first GDP estimate. For a one- to two-year horizon, it formulates and estimates a Bayesian VAR (BVAR) model of the Italian economy. Both the bridge and the BVAR model can be of great help in supplementing traditional judgmental or structural econometric forecasts. Given their simplicity and their good forecasting power, the framework may be usefully extended to other variables as well as to other countries.

Keywords: Forecasting, Bayesian Vector Autoregressions, leading indicators

JEL Classification: C11, C32, E32, E37

Suggested Citation

Iacoviello, Matteo, Short-Term Forecasting: Projecting Italian GDP, One Quarter to Two Years Ahead (August 2001). IMF Working Paper No. 01/109, Available at SSRN: https://ssrn.com/abstract=879838

Matteo Iacoviello (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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