Short term forecasting of national growth

Abstract

The contribution of this paper is to produce national smoothed growth indicators that describe the behaviour of economic activity at a monthly frequency, while utilizing a wide range of economic time series. New Eurocoin indicator, that is published monthly by the Bank of Italy, provides a summary index of the medium to long-run component (MLRG) of the gross domestic product (GDP) growth rate and only for the entire aggregate Euro area, by using the Generalized Dynamic Factor Model. The innovation of this research are some procedures, based on Eurocoin approach, to estimate MLRG in countries belonging to Euro Area.