Ñ-Sting: España short term indicator of growth

• Autores: Máximo Camacho, Gabriel Pérez-Quirós
• Localización: Documentos de trabajo - Banco de España, ISSN 0213-2710, Nº 12, 2009, págs. 9-29
• Idioma: inglés
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• Dialnet Métricas: 7 Citas
• Resumen

  • We develop a dynamic factor model to compute short term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which works well as an indicator of the business cycle conditions in Spain. To examine its real time forecasting accuracy, we use real-time data vintages from 2008.02 through 2009.01. We conclude that the model exhibits good forecasting performance in anticipating the recent and sudden downturn.