In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our leading indicators are taken from the variables in the ECB Euro-area-wide model database, plus a set of similar variables for the US. We compare the forecasting performance of each indicator ex-post with that of purely autoregressive models. We also analyze three different approaches to combining the information from several indicators.
Leading indicators for Euro area inflation and GDP growth
MARCELLINO, MASSIMILIANO;
2005
Abstract
In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our leading indicators are taken from the variables in the ECB Euro-area-wide model database, plus a set of similar variables for the US. We compare the forecasting performance of each indicator ex-post with that of purely autoregressive models. We also analyze three different approaches to combining the information from several indicators.
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