Financial and Real Latent factors in Forecasting Economic Time Series


In this paper we want to assess the impact of real and financial variables in estimating smoothed GDP. We implement the generalized dynamic factor model, on which Eurocoin indicator is based. We can assess that the impact of real and financial variables in estimating smoothed GDP, during the structural break in 2008, shows that the role of real data as industrial production, foreign trade, employment indexes, becomes particularly relevant in relation to that concerning financial data as money supply, spreads.

DOI Code: 10.1285/i20705948v5n3p445

Keywords: Band-pass filters; Eurocoin approach; Real time indicators


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