Series: Working Papers. 0912.
Author: Maximo Camacho y Gabriel Perez-Quiros.
Topics: Economic growth and convergence | Non-financial corporations, businesses | Economic situation | Quantitative methods.
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Abstract
We develop a dynamic factor model to compute short term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which works well as an indicator of the business cycle conditions in Spain. To examine its real time forecasting accuracy, we use real-time data vintages from 2008.02 through 2009.01. We conclude that the model exhibits good forecasting performance in anticipating the recent and sudden downturn.