The Euro‐Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts

Camacho, Máximo; García-Serrador, Agustín

doi:10.1002/for.2284

Cited by 16 publications

(13 citation statements)

References 22 publications

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“…This result is very much in line with recent papers that demonstrate that financial indicators are useful for forecasting output growth in the euro area (Camacho and Garcia-Serrador, 2014). While forecaster typically augment their models with single financial indicators such as the yield curve or credit growth, we conjecture that it might even be worthwhile considering a broader set of financial sector information for forecasting purposes.…”

Section: Out-of-sample Forecasting Exercisesupporting

confidence: 89%

A financially stressed euro area

Kappler¹,

Schleer

2017

Economics

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The authors analyse 149 newly compiled monthly time series on financial market stress conditions in the euro area. With the aid of a factor model they find different sources of financial stress that are important for selecting and preparing the appropriate policy response. The existence of a "Periphery Banking Crisis" factor, a "Stress" factor and a "Yield Curve" factor seems to explain the bulk of volatility in recent euro area financial sector data. Moreover, by a real-time forecasting exercise, the authors show that including additional factors-that reflect financial sector conditions-improves forecasts of economic activity at short horizons. JEL C38 G01

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Section: Out-of-sample Forecasting Exercisesupporting

confidence: 89%

A financially stressed euro area

Kappler¹,

Schleer

2017

Economics

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“…States, Camacho and Doménech (2012) for Spain, Angelini et al (2008a), Angelini et al (2008b), Camacho and Perez-Quiros (2010), and Camacho and Garcia-Serrador (2013) for the Euro Area. 2 They modify the "exact" DFM by Stock and Watson (1991) to account for problems of different frequency and asynchronous publication of series underlying the real-time forecast in applying a Kalman Filter strategy to fill up the series.…”

Section: For the Unitedmentioning

confidence: 99%

Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP

Duarte¹,

Süßmuth

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP Abstract Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals with the implementation stage of this practice. We propose a twotiered mechanism consisting in the identification of variables highly correlated with GDP as "core" indicators and a check of robustness of these variables in the sense of extreme bounds analysis. Accordingly selected indicators are used in an approximate DFM framework to exemplarily nowcast Spanish GDP growth. We show that our implementation produces more accurate nowcasts than both a benchmark stochastic process and the implementation based on the total set of core indicators. Terms of use: Documents in

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“…They measure a financial cycle using frequency-based filters or the turning-point method (Harding and Pagan, 2002 ) which dates peaks and troughs. Other exampes on cycle construction can be found in Kose, Otrok and Whiteman (2003), Sarferaz and Uebele (2009), Hatzius et 1 al., (2010), Brave and Butters (2011), Camacho and Garcia-Serrador, (2014).…”

Section: Introductionmentioning

confidence: 99%

Towards a financial cycle for the U.S., 1973–2014

Rozite

Bezemer

Jacobs

2019

The North American Journal of Economics and Finance

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We suggest a new approach to estimating financial cycles, as interactions of real-sector and financial-sector sentiments. We apply this to the U.S. financial indicators over 1973-2014. Based on financial cycle concepts of Schumpeter and Minsky, we motivate the selection of six indicators which capture finance-real sector linkages: the slope of the yield curve, a Purchasing Managers' Index, real estate price returns, the S&P stock price index and leverage ratios of households and non-financial corporations. We estimate lead-lag relations and apply principal component analysis on aligned series to construct factors. We find that two factors, capturing corporate and household sentiments, account for over 60% of the cumulative variance in our data. Corporate optimism peaks before crisis episodes while households' sentiment is more persistent and follows with a lag corporate semtiment.

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The Euro‐Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts

Cited by 16 publications

References 22 publications

A financially stressed euro area

A financially stressed euro area

Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP

Towards a financial cycle for the U.S., 1973–2014

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