| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3893 |
| DP3893 Leading Indicators for Euro Area Inflation and GDP Growth | |
| Anindya Banerjee; Massimiliano Marcellino; Igor Masten | |
| 发表日期 | 2003-05-25 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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 euro area model database, plus a set of similar variables for the US. 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 ex-post and in a pseudo real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyse 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. |
| 主题 | International Macroeconomics |
| 关键词 | Leading indicator Factor model Model selection Gdp growth inflation |
| URL | https://cepr.org/publications/dp3893 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532892 |
| 推荐引用方式 GB/T 7714 | Anindya Banerjee,Massimiliano Marcellino,Igor Masten. DP3893 Leading Indicators for Euro Area Inflation and GDP Growth. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
