文章基本信息

标题：MICA-BBVA: a factor model of economic and financial indicators for short-term GDP forecasting
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作者：Máximo Camacho ; Rafael Doménech
期刊名称：SERIEs: Journal of the Spanish Economic Association
印刷版ISSN：1869-4187
电子版ISSN：1869-4195
出版年度：2012
卷号：3
期号：4
页码：475-497
DOI：10.1007/s13209-011-0078-z
出版社：Springer Berlin / Heidelberg
摘要：In this paper we extend the Stock and Watson’s (Leading economic indicators, new approaches and forecasting records, 1991) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different frequencies and delays with respect to the period to which they refer. We find that the common factor reflects the behavior of the Spanish business cycle well. We also show that financial indicators are useful for forecasting output growth, particularly when certain financial variables lead the common factor. Finally, we provide a simulated real-time exercise and prove that the model is a very useful tool for the short-term analysis of the Spanish Economy.
关键词：Business cycles; Output growth; Short-term forecasting