Leading Indicators for Euro-area Inflation and GDP Growth

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

No 235, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB Euroarea model database, plus a set of similar variables for the U.S. We compare the forecasting performance of each indicator with that of purely autoregressive models, using an evaluation procedure that is particularly relevant for policy making. The evaluation is conducted both expost and in a pseudo real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyze three different approaches to combining the information from several indicators. First, we discuss the use as indicators of the estimated factors from a dynamic factor model for all the indicators. Second, an automated model selection procedure is applied to models with a large set of indicators. Third, we consider pooling the single indicator forecasts. The results indicate that single indicator forecasts are on average better than those derived from more complicated methods, but for them to beat the autoregression a different indicator has to be used in each period. A simple real-time procedure for indicator-selection produces good results.

Date: 2003
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
https://repec.unibocconi.it/igier/igi/wp/2003/235.pdf (application/pdf)

Related works:
Journal Article: Leading Indicators for Euro‐area Inflation and GDP Growth* (2005)
Working Paper: Leading Indicators for Euro Area Inflation and GDP Growth (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:igi:igierp:235

Ordering information: This working paper can be ordered from
https://repec.unibocconi.it/igier/igi/

Access Statistics for this paper

More papers in Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University via Rontgen, 1 - 20136 Milano (Italy).
Bibliographic data for series maintained by ().