Monthly indicators and short-term forecasting - Antonio Frenda, Sergio Scippacercola - Vita e Pensiero - Articolo Statistica & Applicazioni

Monthly indicators and short-term forecasting

digital Monthly indicators and short-term forecasting
Article
journal STATISTICA & APPLICAZIONI
issue STATISTICA & APPLICAZIONI - 2014 - 2
title Monthly indicators and short-term forecasting
authors
publisher Vita e Pensiero
format Article | Pdf
online since 10-2015
issn 18246672 (print)
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In this paper we show an approach to assessing both the impact of business cycles on economic indicators and on the underlying macroeconomic variables and one of these variables in nowcasting GDP: this approach is based on the real-time ability of financial and real variables to reproduce business cycles. We observe that using both a large dataset and a smaller set of accurately targeted financial and real indicators in each phase of the cycle can deliver more accurate predictions, in particular concerning the identification of turning points. Since the recession of 2008-2009, we have found that a large part of the countries’ business cycles is due to real common shocks.

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