Type: Working Paper
The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap
Working Paper, EUI ECO, 2010/15
MARCELLINO, Massimiliano, MUSSO, Alberto, The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap, EUI ECO, 2010/15 - http://hdl.handle.net/1814/13736
Retrieved from Cadmus, EUI Research Repository
This paper provides real time evidence on the usefulness of the euro area output gap as a leading indicator for inflation and growth. A genuine real-time data set for the euro area is used, including vintages of several alternative gap estimates. It turns out that, despite some difference across output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and three-year ahead). By contrast, we find some evidence that several output gap estimates are useful to forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. A comparison with the US yields similar conclusions.
Cadmus permanent link: http://hdl.handle.net/1814/13736
Series/Number: EUI ECO; 2010/15