Short-term estimates of euro area real GDP by means of monthly data

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, C53bridge equations, Conjunctural analysis, incomplete monthly information

Forecasting French and German long-term rates using a rational expectations model

E43,

Indicator models of real GDP growth in the major OECD economies

Accurate and timely information on the current state of economic activity is an important requirement for the policymaking process. Delays in the publication of official statistics mean that a complete picture of economic developments within a particular period emerges only some time after that period has elapsed. Thus considerable resources are, at times, devoted to making an assessment of the immediate past and the current conjuncture as well as projections about future developments. In practice, a regular flow of information is provided by the large number of quantitative and qualitative indicators that appear each month for different sectors of the economy. One challenge for policymakers is to put these together in a consistent manner to obtain a picture of the overall state of the economy.

Indicator Models of Real GDP Growth in Selected OECD Countries

Accurate and timely information on the current state of economic activity is an important requirement for the policymaking process. Delays in the publication of official statistics mean that a complete picture of economic developments within a particular period emerges only some time after that period has elapsed. The research described in this paper develops a set of econometric models that provide estimates of GDP growth for a number of major OECD countries and zones in the two quarters following the last quarter for which official data have been published. These models exploit the considerable amount of monthly conjunctural information that becomes available before the release of official national accounts data. Information is incorporated from both ‘soft’ indicators, such as business surveys, and ‘hard’ indicators, such as industrial production and retail sales, and use is made of different frequencies of data and a variety of estimation techniques. An automated procedure is ... Modèles de prévision de la croissance du PIB réel dans certains pays de l'OCDE, à l'aide d'indicateurs conjoncturels Disposer d’information précise et à jour sur la situation courante de l’économie est une exigence fondamentale dans le processus de décision économique. Les délais dans la publication des statistiques officielles signifient qu’un tableau complet des évolutions économiques au cours d’une période particulière n’est seulement disponible que quelques temps après la fin de cette période. Les travaux décrits dans cet article présentent un ensemble de modèles économétriques permettant d’estimer la croissance du PIB dans certaines grandes économies ou zones de l’OCDE à un horizon de deux trimestres après le dernier trimestre publié. Ces modèles utilisent une masse importante d’information conjoncturelle mensuelle disponible avant la publication des données officielles de comptes nationaux. Cette information provient à la fois d’indicateurs ‘mous’ comme les enquêtes d’opinion ou d’indicateur ‘durs’ comme la production industrielle ou les ventes de détail. Différentes fréquences et méthodes ...indicator models, bridge equations, monthly data, short-term economic forecasts, modèle d'indicateurs conjoncturels, données mensuelles, équation de passage, prévisions économiques à court terme

Implementing and interpreting indicators of core inflation: the case of France

This paper presents a comparison of alternative indicators of underlying or "core" inflation in the French case. Four broad measures are considered and implemented. The first two are inflation excluding food and energy, and the trimmed inflation indicator. We then implement two methods relying on time-series models: the Dynamic Factor Index and the structural VAR approach. Each indicator stresses on a particular type of shock on the inflation rate, so that no simple ranking of the measures emerges. Combining the various indicators conveys valuable information for appraising short term inflation developments. As regards theoretical interpretation, no indicator is fully satisfactory, lacking an explicit representation of monetary policy. However, comparing forecast performance with respect to inflation provides some specific support in favor of trimmed mean indicators.Core inflation; Trimmed mean estimators; Dynamic Factor Index

The Challenges of Narrowing the US Current-Account Deficit and Implications for Other Economies

This article uses the OECD’s interlink model to explore several possible channels through which a narrowing of the US current account deficit could occur. The shocks considered include dollar depreciation, fiscal consolidation, and an improvement in the non-price competitiveness of US producers. A key conclusion is that shocks would have to be very large in order to materially reduce the US external deficit, largely because of the offsetting impact of second-round effects. In addition...

Les défis de la réduction du déficit de balance courante des États-Unis et conséquences pour les autres économies

Le déficit de balance courante des États-Unis a récemment atteint son plus haut niveau historique – environ 5.2 pour cent du PIB – et, même s’il a légèrement baissé depuis, reste très élevé au regard de l’expérience passée (graphique 1). Un déficit de cette ampleur pour une économie d’une aussi grande dimension que celle des États-Unis absorbe une forte proportion de l’épargne mondiale, les actifs américains représentant de ce fait une part de plus en plus grande dans le portefeuille des investisseurs étrangers. À de nombreux égards, les États-Unis demeurent une destination attrayante pour l’investissement, mais on ne sait pas très bien jusqu’à quel point les étrangers continueront d’accumuler au rythme actuel les actions et obligations émises par des résidents des États-Unis1. Bien...