Working Paper No. 77 (June 2014)
JEL Classifications: E32, C22, E27

Claudia Guagliano (
CONSOB, Research Department

Cristiano Mantovani (
CONSOB, Research Department


download paper 77

download paper 77 Working Paper No. 77 (view/download PDF)


GDP, the key statistics describing the state of the economy, is collected at low frequency, typically on a quarterly basis, and released with a substantial lag. The goal of this paper is to have the most timely and accurate idea about the current real economic activity, measured by the growth rate of GDP, on the basis of all the information that is available. We follow Camacho and Pérez-Quirós (2010) model introducing a simple algorithm which, while forecasting rather well in real time the GDP growth rates, has the advantage of being a transparent and small-scale model, taking into account the data revision procedure used by statistical offices, and addressing all the issues of real-time forecasting (in particular, mixed frequencies and ragged edges). To our knowledge, we are the first to apply the model to the main Eurozone countries: Germany, France, Italy and Spain. Our results show that the model performs well during the sample, both in terms of trend and in terms of magnitude. This paper is part of a project aimed at developing different business cycle indicators to be used in Consob Risk Outlook.

We wish to thank Giovanni Caggiano for very helpful comments, though the responsibility for any mistakes and for the opinions expressed remains our own. The ideas and positions in the paper are personal views of the authors and cannot be attributable to Consob.

ISSN 2281-3519