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Short-Term Forecasting: Projecting Italian GDPone Quarter to Two Years Ahead
Author:
Mr. Matteo Iacoviello null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2001: Issue 109
Language:
English
Publication Date:
01 Aug 2001
DOI:
https://doi.org/10.5089/9781451853216.001
ISBN:
9781451853216
ISSN:
1018-5941
Pages:
23
Keywords:
WP; GDP; Forecasting; Bayesian Vector Autoregressions; leading indicators; GDP growth; growth forecast; GDP estimate; growth YOY; GDP forecast; Cyclical indicators; Industrial production; Vector autoregression; GDP forecasting; Production index
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund