Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data
Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data
复制标题
通过月度数据对欧元区实际 GDP 进行短期估计
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
Gerhard Rünstler
中科院分区：
文献类型：
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作者：
Franck Sédillot;Gerhard Rünstler
欧元区季度真实的国内生产总值的第一次官方数据发布是在参考季度结束后大约八周。与此同时，必须根据各种更容易获得的月度指标来评估当前的经济发展。我们在单变量预测方程的背景下，在何种程度上月度指标预测欧元区真实的GDP增长在当前和下一季度提供有用的信息。特别是，我们调查的情况下，月度指标只有部分可用的季度方程的性能。为此，我们使用时间序列模型来预测月度指标的缺失观测值。然后，我们在不同的月度信息量下研究国内生产总值预测。我们发现，与ARIMA预测相比，已经有限的月度信息在很大程度上改善了对当前季度GDP增长的预测。JEL分类：C22，C53
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. JEL Classification: C22, C53