OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Short-term forecasting of French GDP growth using dynamic factor models You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3313021ec003.pdf
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Author(s):
Marie Bessec, Catherine Doz
11 June 2014
Pages:
40
Bibliographic information
No.:
6,
Volume:
2013,
Issue:
2
Pages:
11–50
http://dx.doi.org/10.1787/jbcma-2013-5jz742l0pt8s

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In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set of around one hundred variables including survey balances and real, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start of the quarter. We also show that the inclusion of international and financial variables can improve forecasts at the longest horizons.

 
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