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Author/Editor:
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Iacoviello, Matteo
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Publication Date:
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August 01, 2001
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
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
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Series:
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Working Paper No. 01/109
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Subject(s):
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Gross domestic product | Italy | Economic models
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Author's Keyword(s):
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Forecasting | Bayesian Vector Autoregressions | Leading Indicators |
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English
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Publication Date:
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August 01, 2001
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ISBN/ISSN:
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1934-7073
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Format:
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Paper
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Stock No:
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WPIEA1092001
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Pages:
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23
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Price:
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US$15.00 )
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Price Delivery Note:
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Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
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