Estimation of Economic Growth in France Using Business Survey Data

April 1, 2004

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results obtained show that the resulting indicator forecasts economic activity with a relatively high degree of accuracy before the release of actual data.

Subject: Business cycles, Cyclical indicators, Economic and financial statistics, Economic growth, Financial institutions, Stocks

Keywords: Business cycles, Cyclical indicators, Dynamic factor models, economic forecasting, economic growth rate, economic indicator index, Europe, generalized dynamic factor model, negative correlation correlation coefficient, random walk, RW model, Stocks, survey data, time series, WP

Pages:
20
Volume:
2004
DOI:
https://doi.org/10.5089/9781451849097.001
Issue:
069
Series:
Working Paper No. 2004/069
Stock No:
WPIEA0692004
ISBN:
9781451849097
ISSN:
1018-5941

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