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A New Real-Time Indicator for the Euro Area GDP

Author

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  • Ginters Buss

    (Bank of Latvia)

Abstract

The paper proposes a new real-time unrevised indicator tracking medium-to-long-term component in the quarterly growth of the euro area GDP. The new indicator is based on recently developed real-time filtration methodology, the multivariate direct filter approach, applied to selected business and consumer survey and share price data. The new indicator is found to have led another established indicator, the Eurocoin, by about three months since mid-2009 and be about coincident with but smoother than the PMI. In addition to the euro area aggregate indicator, the paper presents prototypical indicators for four biggest EU economies – Germany, France, the UK and Italy. Overall, the described filter approach appears to be able to provide somewhat better results in tracking business cycle developments than other widely used approaches.

Suggested Citation

  • Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
    • Handle: RePEc:ltv:wpaper:201202
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    References listed on IDEAS

    as
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    2. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario & Altissimo, Filippo & Cristadoro, Riccardo & Veronese, Giovanni & Bassanetti, Antonio, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
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    Cited by:

    1. Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers 2012/06, Latvijas Banka.

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    More about this item

    Keywords

    real-time signal extraction; coincident indicator; multivariate direct filter approach;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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