Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment
Katja Drechsel, Rolf Scheufele
Abstract
This paper presents a method to conduct early estimates of GDP growth in Germany. We employ MIDAS regressions to circumvent the mixed frequency problem and use pooling techniques to summarize efficiently the information content of the various indicators. More specifically, we investigate whether it is better to disaggregate GDP (either via total value added of each sector or by the expenditure side) or whether a direct approach is more appropriate when it comes to forecasting GDP growth. Our approach combines a large set of monthly and quarterly coincident and leading indicators and takes into account the respective publication delay. In a simulated out-of-sample experiment we evaluate the different modelling strategies conditional on the given state of information and depending on the model averaging technique. The proposed approach is computationally simple and can be easily implemented as a nowcasting tool. Finally, this method also allows retracing the driving forces of the forecast and hence enables the interpretability of the forecast outcome.
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Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment
Katja Drechsel, Rolf Scheufele
Abstract
This paper presents a method to conduct early estimates of GDP growth in Germany. We employ MIDAS regressions to circumvent the mixed frequency problem and use pooling techniques to summarize efficiently the information content of the various indicators. More specifically, we investigate whether it is better to disaggregate GDP (either via total value added of each sector or by the expenditure side) or whether a direct approach is more appropriate when it comes to forecasting GDP growth. Our approach combines a large set of monthly and quarterly coincident and leading indicators and takes into account the respective publication delay.
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Fiscal Policy and the Great Recession in the Euro Area
Mathias Trabandt, Günter Coenen, Roland Straub
American Economic Review: Papers and Proceedings,
No. 3,
2012
Abstract
How much did fiscal policy contribute to euro area real GDP growth during the Great Recession? We estimate that discretionary fiscal measures have increased annualized quarterly real GDP growth during the crisis by up to 1.6 percentage points. We obtain our result by using an extended version of the European Central Bank's New Area-Wide Model with a rich specification of the fiscal sector. A detailed modeling of the fiscal sector and the incorporation of as many as eight fiscal time series appear pivotal for our result.
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Bank-specific Shocks and the Real Economy
Claudia M. Buch, Katja Neugebauer
Journal of Banking and Finance,
No. 8,
2011
Abstract
Governments often justify interventions into the financial system in the form of bail outs or liquidity assistance with the systemic importance of large banks for the real economy. In this paper, we analyze whether idiosyncratic shocks to loan growth at large banks have effects on real GDP growth. We employ a measure of idiosyncratic shocks which follows Gabaix (forthcoming). He shows that idiosyncratic shocks to large firms have an impact on US GDP growth. In an application to the banking sector, we find evidence that changes in lending by large banks have a significant short-run impact on GDP growth. Episodes of negative loan growth rates and the Eastern European countries in our sample drive these results.
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East German economy in 2011: Despite overall Economic Growth no Progress in Catching Up
Udo Ludwig, Hans-Ulrich Brautzsch, Franziska Exß, Brigitte Loose
Wirtschaft im Wandel,
No. 7,
2011
Abstract
Die ostdeutsche Wirtschaft schlägt in diesem Jahr ein höheres Wachstumstempo an als im Jahr nach der Krise. Während das bislang vom Export getriebene Erholungsmuster die Ausrichtung der ostdeutschen Produktion auf die Güternachfrage im Inland weniger ansprach und der Anstieg des Bruttoinlandsproduktes (BIP) von 2% im vergangenen Jahr deutlich hinter der deutschlandweiten Rate von 3,6% zurückblieb, wird sich das Wachstum im Jahr 2011 auf 2,8% beschleunigen. Ausschlaggebend ist der Wechsel der Auftriebskräfte in Deutschland auf die Nachfrage nach Investitions- und nach Konsumgütern. Treibende Kraft bleibt die Industrie, die bereits 2010 dank der Integration in die gesamtdeutschen Wert-schöpfungsketten fast so kräftig zulegte wie in Westdeutschland. In diesem Jahr kommen jedoch auch das Baugewerbe und die konsumnahen Dienstleistungsbereiche in Schwung.
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Where Are Global and U.S. Trade Heading in the Aftermath of the Trade Collapse: Issues and Alternative Scenarios
Filippo di Mauro, Joseph Gruber, Bernd Schnatz, Nico Zorell
FRB International Finance Discussion Paper,
No. 1017,
2011
Abstract
Global and U.S. trade declined dramatically in the wake of the global financial crisis in late 2008 and early 2009. The subsequent recovery in trade, while vigorous at first, gradually lost momentum in 2010. Against this backdrop, this paper explores the prospects for global and U.S. trade in the medium term. We develop a unified empirical framework ? an error correction model ? that exploits the cointegrating relationship between trade and economic activity. The model allows us to juxtapose several scenarios with different assumptions about the strength of GDP growth going forward and the relationship between trade and economic activity. Our analysis suggests that during the crisis both world trade and U.S. exports declined significantly more than would have been expected on the basis of historical relationships with economic activity. Moreover, this gap between actual and equilibrium trade is closing only slowly and could persist for some time to come.
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