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Short-term Forecasting Methods Based on the LEI Approach: The Case of the Czech Republic

Author

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  • Vojtech Benda
  • Lubos Ruzicka

Abstract

This paper is aimed at developing short-term forecasting methods based on the LEI (leading economic indicators) approach. We use a set of econometric models (PCA, SURE) that provide estimates of GDP growth for the Czech economy for a co-incident quarter and a few quarters ahead. These models exploit monthly or quarterly indicators such as business surveys, financial or labour market indicators, monetary aggregates, interest rates and spreads, etc. that become available before the release of data on GDP growth itself. Our tests show that the LEIs provide relatively accurate forecasts of GDP fluctuations in the short run.

Suggested Citation

  • Vojtech Benda & Lubos Ruzicka, 2007. "Short-term Forecasting Methods Based on the LEI Approach: The Case of the Czech Republic," Research and Policy Notes 2007/01, Czech National Bank.
    • Handle: RePEc:cnb:rpnrpn:2007/01
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    References listed on IDEAS

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    Cited by:

    1. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    2. Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.

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    More about this item

    Keywords

    Leading indicators; principal component analysis; seemingly unrelated regression estimate.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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