Short-Term Forecasts of Euro Area Real GDP Growth: An Assessment of Real-Time Performance Based on Vintage Data

Forecasters commonly predict real gross domestic product growth from monthly indicators such as industrial production, retail sales and surveys, and therefore require an assessment of the reliability of such tools. While forecast errors related to model specification and unavailability of data in real time have been assessed, the impact of data revisions on forecast accuracy has seldom been evaluated, especially for the euro area. This paper proposes to evaluate the contributions of these three sources of forecast error using a set of data vintages for the euro area. The results show that gains in accuracy of forecasts achieved by using monthly data on actual activity rather than surveys or financial indicators are offset by the fact that the former set of monthly data is harder to forecast and less timely than the latter set. These results provide a benchmark which future research may build on as more vintage datasets become available. Copyright © 2008 John Wiley & Sons, Ltd.

• Publication year

  2008

• Venue

  Social Science Research Network

• Publication date

  2008-08-01

• Fields of study

  Economics

• Identifiers
  DOI 10.1002/FOR.1067
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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