Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators
The paper compares the most closely watched sentiment indicators with respect to their ability to nowcast quarterly GDP dynamics in the Euro Area and its biggest economies. We analyse cross-correlations and out-of-sample forecast errors generated from equations estimated by rolling regressions in fi...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2014-07-01
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| Series: | Comparative Economic Research |
| Subjects: | |
| Online Access: | https://czasopisma.uni.lodz.pl/CER/article/view/7012 |
| _version_ | 1818882685359095808 |
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| author | Paweł Gajewski |
| author_facet | Paweł Gajewski |
| author_sort | Paweł Gajewski |
| collection | DOAJ |
| description | The paper compares the most closely watched sentiment indicators with respect to their ability to nowcast quarterly GDP dynamics in the Euro Area and its biggest economies. We analyse cross-correlations and out-of-sample forecast errors generated from equations estimated by rolling regressions in fixed-length window. The results show that models employing PMI Composite perform best in the cases of the Euro Area, Germany, France and Italy, whilst Spanish GDP dynamics is best nowcasted using ESI-based models. PMI-based models generate the most accurate nowcasts at the beginning of the quarter, as well as during periods of high volatility of GDP growth rates. |
| first_indexed | 2024-12-19T15:21:41Z |
| format | Article |
| id | doaj.art-c04c908fc32c445aa7198fd44a4add1d |
| institution | Directory Open Access Journal |
| issn | 1508-2008 2082-6737 |
| language | English |
| last_indexed | 2024-12-19T15:21:41Z |
| publishDate | 2014-07-01 |
| publisher | Lodz University Press |
| record_format | Article |
| series | Comparative Economic Research |
| spelling | doaj.art-c04c908fc32c445aa7198fd44a4add1d2022-12-21T20:16:00ZengLodz University PressComparative Economic Research1508-20082082-67372014-07-0117252310.2478/cer-2014-00117012Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment IndicatorsPaweł Gajewski0University of Łódź, Faculty of Economics and Sociology, Department of Macroeconomics, National Bank of PolandThe paper compares the most closely watched sentiment indicators with respect to their ability to nowcast quarterly GDP dynamics in the Euro Area and its biggest economies. We analyse cross-correlations and out-of-sample forecast errors generated from equations estimated by rolling regressions in fixed-length window. The results show that models employing PMI Composite perform best in the cases of the Euro Area, Germany, France and Italy, whilst Spanish GDP dynamics is best nowcasted using ESI-based models. PMI-based models generate the most accurate nowcasts at the beginning of the quarter, as well as during periods of high volatility of GDP growth rates.https://czasopisma.uni.lodz.pl/CER/article/view/7012nowcastingsentiment indicators |
| spellingShingle | Paweł Gajewski Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators Comparative Economic Research nowcasting sentiment indicators |
| title | Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators |
| title_full | Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators |
| title_fullStr | Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators |
| title_full_unstemmed | Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators |
| title_short | Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators |
| title_sort | nowcasting quarterly gdp dynamics in the euro area the role of sentiment indicators |
| topic | nowcasting sentiment indicators |
| url | https://czasopisma.uni.lodz.pl/CER/article/view/7012 |
| work_keys_str_mv | AT pawełgajewski nowcastingquarterlygdpdynamicsintheeuroareatheroleofsentimentindicators |