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dc.contributor.authorBessec, Marie*
dc.contributor.authorDoz, Catherine*
dc.date.accessioned2014-12-17T16:38:27Z
dc.date.available2014-12-17T16:38:27Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14465
dc.language.isoenen
dc.subjectGDP forecasten
dc.subjectfactor modelsen
dc.subject.ddc339en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelE.E3.E32en
dc.subject.classificationjelE.E3.E37en
dc.titleShort-term forecasting of French GDP growth using dynamic factor modelsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn 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.en
dc.relation.isversionofjnlnameJournal of business cycle measurement and analysis
dc.relation.isversionofjnlvol2013en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2014-06
dc.relation.isversionofjnlpages11-50en
dc.relation.isversionofdoi10.1787/jbcma-2013-5jz742l0pt8sen
dc.relation.isversionofjnlpublisherOECDen
dc.subject.ddclabelMacroéconomieen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds255365*
hal.person.labIds15080*
hal.identifierhal-01515602*


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