Short-term forecasting of French GDP growth using dynamic factor models

Short-term forecasting of French GDP growth using dynamic factor models

In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set of a...

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Bibliographische Detailangaben
1. Verfasser: Bessec, Marie (VerfasserIn)
Weitere Verfasser: Doz, Catherine (MitwirkendeR)
Format: Elektronisch Buchkapitel
Sprache:English
Veröffentlicht: Paris OECD Publishing 2014
Schlagworte:
Economics
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Beschreibung
Zusammenfassung:In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set of around one hundred variables including survey balances and real, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start of the quarter. We also show that the inclusion of international and financial variables can improve forecasts at the longest horizons
Beschreibung:1 Online-Ressource (40 Seiten) 21 x 28cm
DOI:10.1787/jbcma-2013-5jz742l0pt8s

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