Construction of coincident indicators for euro area key macroeconomic variables - Archive ouverte HAL Access content directly
Conference Papers Year :

Construction of coincident indicators for euro area key macroeconomic variables

(1) , (1) , (2)
1
2

Abstract

The availability of timely and reliable information on main macroeconomic variables is considered both by policy makers and analysts crucial for an effective process of decision making. Unfortunately official statistics cannot always meet adequately users' needs, especially concerning their timely availability. This is the reason why, using econometric techniques, analysts try to anticipate or estimate in real time short-term movements of main macroeconomic variables. In this paper we propose a strategy simple and easily replicable in production processes for the estimation of the period on period growth rates of the euro area Industrial Production Index and Gross Domestic Product (GDP). Our strategy is based on the classical multivariate regression model on growth rates with autoregressive error term which is widely used in anticipating economic movements. Concerning GDP three different equations were identified, while for Industrial Production Index we have identified only two suitable representations. Furthermore for both variables we also use a purely autoregressive representation as a benchmark.
Fichier principal
Vignette du fichier
charpinfrancoiseisf2008.pdf (168.18 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01053248 , version 1 (30-07-2014)

Identifiers

  • HAL Id : hal-01053248 , version 1
  • SCIENCESPO : 2441/9676

Cite

Françoise Charpin, Catherine Mathieu, Gian Luigi Mazzi. Construction of coincident indicators for euro area key macroeconomic variables. 28th International Symposium on Forecasting, Jun 2008, Nice, France. ⟨hal-01053248⟩
56 View
51 Download

Share

Gmail Facebook Twitter LinkedIn More