Short-Term Forecasting: Projecting Italian GDPone Quarter to Two Years Ahead

August 1, 2001

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Format: Chicago

Matteo Iacoviello. Short-Term Forecasting: Projecting Italian GDPone Quarter to Two Years Ahead, (USA: International Monetary Fund, 2001) accessed September 19, 2024

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

Subject: Cyclical indicators, Econometric analysis, Economic growth, GDP forecasting, Industrial production, National accounts, Production, Production index, Vector autoregression

Keywords: Bayesian Vector Autoregressions, Cyclical indicators, Forecasting, GDP, GDP estimate, GDP forecast, GDP forecasting, GDP growth, Growth forecast, Growth YOY, Industrial production, Leading indicators, Production index, Vector autoregression, WP

Publication Details

Pages:

23
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2001/109
Stock No:

WPIEA1092001
ISBN:

9781451853216
ISSN:

1018-5941

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