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Short-Term Forecasting: Projecting Italian GDP, One Quarter to Two Years Ahead

Author/Editor: Iacoviello, Matteo
Authorized for Distribution: August 1, 2001
Electronic Access: Free Full Text (PDF file size is 674KB)
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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.

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
 
Series: Working Paper No. 01/109
Subject(s): Gross domestic product | Italy | Economic models
Author's keyword(s): Forecasting | Bayesian Vector Autoregressions | Leading Indicators
 
English  
    Published:   August 1, 2001        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA1092001   Pages:   23
    Price:   US$15.00
       
     
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