Real-time forecasting of GDP based on a large
factor model with monthly and quarterly data
Christian Schumacher
(Deutsche Bundesbank)Jörg Breitung
(University of Bonn and Deutsche Bundesbank)
Discussion Paper
Series 1: Economic Studies
No 33/2006
Discussion Papers represent the authors’ personal opinions and do not necessarily reflect the views of the Deutsche Bundesbank or its staff.
Editorial Board: Heinz Herrmann
Thilo Liebig
Karl-Heinz Tödter
Deutsche Bundesbank, Wilhelm-Epstein-Strasse 14, 60431 Frankfurt am Main, Postfach 10 06 02, 60006 Frankfurt am Main
Tel +49 69 9566-1
Telex within Germany 41227, telex from abroad 414431, fax +49 69 5601071
Please address all orders in writing to: Deutsche Bundesbank,
Press and Public Relations Division, at the above address or via fax +49 69 9566-3077
Reproduction permitted only if source is stated.
ISBN 3–86558–210–9 (Printversion) ISBN 3–86558–211–7 (Internetversion)
123456748
1234 56578 9344474 6 68 97 8 74363 2 43 6 687 78 2 69 6878 37 478374 3 87637 1 67 3 6 27 93787 57 83933374 27 966 69 3443 478634 6 27 79 27 4657 27 684 687 743679 6553 6 6832 379 !32 6 583356 574 7436 8 "7 93444 27 34657 58578374 27 74368 3 87637 73874 69 7294 8 4657 87643 #4 6 753836 655363 !7 74367 2 786 3 87637 93444 27 !64 69 8764 686 27 97 69 27 87 873434 $827887 !7 644744 27 833 37 2 966 27 8764 578867 9538 2 6832 583356 574 68 974 6337648 %& '(%123 45673869 9
1234563575893 593 8297 97 462986 236 6 4568 5 2697 6 34467 26 5 6 635758 9 9735866 29932 975482957 85427 63575893 24926 246 46626 9 35796426 986 2 2 6 9793254 5 462 63575893 2399 9 96 2 2464 46 673 27 9 2 35796426 62 57 !54 6"286 97 64827 9 46626 25 9" 66 264 6 67 5 6 466396 2464 6 5 9 62 567 857 976 336 9793254 93 246 567 22926 8546 986 27 89 6 5 857954 6 34467 26 5 6 635758 7 9 264 6 93 2 246326 2354 856 2 327 358976 857 27 24 64 9793254 97 5464 5 69826 27 54632 857 !5597 #53 27 $2 57 %&''&2( 6 69826 6 2354 497392 3585767 27 685 27 6"632957 82"9892957 %)1( 25498 5 3244 5 6 35764957 5 6 9*6467 46 67396 5 6 22 +9 25498 964296 69826 857 2354 458 89"646 673 22 27 6 6 69826 2354 5 35743 857 69826 5 6 2464 6496 +6 )1 25498 327 25 26 975 23357 8997 22 4568 3 2 9*6467 932 957 26 2 6 67 5 6 286 #9736 9*6467 932957 2 246 932 4667 97 462986 226 6 4556)1 25498 6 646 9 27 242396 6"67957 5 6"997 54632 865 26 57 246 2354 856 +6 6894932 2932957 97 9 264 6 2 756 64827 579,32957 462986 226 5 69826 27 54632 857 64827 -642 6 226 3579 5 25 .' 986 6496 27 2 75 667 6 97 2 246 2354 856 3576" 6546 5 6 226 9 46296 82 358246 9 564 6894932 96 297 246 2354 856 1576/245 982957 2 6 2 54632 6"64396 4662 2 6 906 5 6 226 9 2454926 97 6 4667 3576" +6 6894932 5463297 46 54 64827 5 2 6 462986 2354 54632 62 5 2792 8264 8627 246 54632 64454 27 986 673824 856 15664 2 35824957 5 54632 64454 564 986 4662 2 6 54632 233423 3276 27 327 6 9896 97 286 22 469957 26 57 2 89754 9823 57 6 5463297 46 2 2 35824957 5 54632 26 57 462986 22 27 54632 97,72 22 5 +6 5463297 233423 5 6 2354 856 9 83 8546 2*636 97 857 9793254 22 93 9 22926 97 22736 5 7397 986 857 5642957 97 6 5463297 856 62 5 2792 98456867 97 6 54632 645482736 358246 9 2 856 646 6 986 5642957 246 46856 2 6 67 5 6 286 - 6 857 9793254 6 45 5 46 9793254 %976 357,6736 6"632957 357864 679867( 2 6 96 9823 57 6 5463297 23342318674 456738675 95393
#55 6 2 23 ,259936 )7369767 6467 9364696 22 329 82452557589364 7548295767 645*67 196469 97 59936 )7369742264 582 89 68 4568 57457964 2 96 04 46427 66767 299367 267 7558867 97 7 96 66722496 526 69764 459432 74 6976 34227 2967 257767 #5 6467 9396 8245255758936 4249267 89 646 93676696402564767 564 74 97 45767669222767 6425*6793 36996696 94 232 6976 #3624926 2 4 96 $94322992 22 69764 459432 6993 9646822493 7 89 69764 6469367 66964025647 90964 97 63 27 62 63 $5367 723 2 6 674636767 9242 47 9664 46402564767 6467 582 8572936 :5787497925467 64676 96 06993 4264 2 23 04 4647 667 8 962 526 64 459432 6970322067 7 0 45759096467 7 68 54966767 2964 996467 94 697 4576 !25467856 2 8572936 7 96468224936 7925467 589796467 277 8 8572936 #3220767 7 457567 6 3 0 6463767 68 72057 #53 7 $257 %&''&2( 567 322067 94 96 !25467 89 64 12585767672726 7 6067 69767 )"63295712"989 2957 %)1( 5498 697 8 96 !46 6705764957 09367 67 964682249367 7 85729367 267 54076867 64 5498 3220 96429 8572936 !2 5467 89 196 64 689367 267 7 64676 966 85729367 !25467 8 857293636523767 6 96468224936730 676496467 64 )15498 277068 45686 667646694696797548295767 642393967 960836996 43 764396936 9295706976 64 267 28 )76 6 #3220069428 24667 257767 2 96 96443 469646767 929576402564767 697 9 36 16482 97 462986 26722067 9 6 64 964 54632676)15498 6976 9664463676 )422707 666764 45756642467 2 329 45764 !2 54678566 24 96 6894936 7677 97 9668 2964 64676 69767 7667 462986 267 20 4 96 6362 459432 89 964682249367 7 85729367 267 8 2 636 3857293 0 322067 7 0 45759096467 7628 66 64 26720 2 62 .' 66946967 7 46 964 753 793 98 :576" 45764 !2 54678566 276676 -5 64 26720 4629 697 649367 89 276467 68949367 46967 2 329 45764 !254678566 9 06967 1576 /245 #98 295767 2 23 45756646936 2 96 2 64 267 24 67 54966767 663 97628 2768667 9 96 68949367 45756646796 24 2 6363 06967 2 96 462986 !254457567 27096 697646 89646 242936 45756664 26967 2 697 236 647298566 ;653069 6976364237 64 45756664 64 962 669 2 96 4575626 6 !25467856 98 66922 327 7 97 697967 649 567 64670 9 #29936 <6995767 64 267 267 74 69767 649767 )97= 2 96 4575626 96 697 464693 57 457567 2 329 57 462986 267 7 457567 2329 57 ,7267 267069 96 457566 6 !254678562 94 692 22464 6697= 43 96 464677 57 85729367 669469679754 8295767 96 06993 464 642 24 97 2 22 3 96 )9760967 85729364 7925467 42 0 69367 464664767 64 4575669673267 649367 89 69768 156 97 68 96 26676694696797548295767 64723229 6467 64 46 64 85729367 7925467 2 96 46 64 >842697925467 %9432936 526 7 )424767 64 >76476867 :5786767644267( 96 425763667 24 96 457566 6 !254678562
1
234534
6
7 83492423 7 429 564423 3 295643 2 234 123 456 788976 79 6 7 67 5 6966 77 121 7 76 5 7 7969 77 56 795 2 12 !967 5 "#$ 56 5 79 2 2 2 2 2 2 2 2 2 2 2 2 3% 593 9545 4 7 545 295643 2 593 7 1236236 !!53" # &23 5 7 7969 776 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 1' &21 !967 96 9 (696 69 79 2 2 2 2 2 2 2 2 2 2 2 2 2 2 1 &2 6 )79 7 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 1123456782 92367 9 32 3 432 936
824 76 864 3 3624 363
1
7 8
34
9
2
4
23
796 8 7* 9676 76 56 896 76 56 996 76 56 6 5 866 77 972 +897 6 ,7976 796 96676 5 6976 6 72 & 7 *6 79 967 6 7,- "#$ 856 7 7969 966 7 5 7 6976 67 2 !9 6786- "697- "#$ 96676 7 66* 769 56 6 56 9686,679692 + 8 6 9696 97 5 9 95 769 577969- 96 6 97 6662 .6 8 6 5 79 55 796 6 7,776 96 6 57 "#$ 7 5 568 9 56 996 76 56 62 &569 788975-55 6 896 5696- 68 5 77969 77 9 67 7 967 79 5 "#$2 + 5 87869- 7 79676 79 6 5 5 7 7969 77 6 676 5 "#$ 96762 ! /* 7 07 11%%17- 1%%12- 6 676 56 79 8987 862 4 7*6 7 77 5 (69 6 9666 1 9 76 7969 7 5 772 7 686777 12 795 6862 45 795 697,6 676 5 79 9 6966 77 7 6 56 676 79 9 5 676 56 7969 6962 456 795 7 7 7*6 7 569 77 12334562784794 9943 4594 78457 4654734 !37"3 #7 $4% &&'(&'')*' ' !+ &&'(&'')*',*% 12345647895127123 85789% 347- .883455 /754 2" 92724395 0714352 2" 277 .8474344 ** ) 277 346884889% $5 6643 346345475 4 2353 643527 267 275 78 8245 72 74945532 34449 4 1455 2" 4 4594 78457% 4 34 -34" 2 6 13547547 7823- 8264 24792 977274 :22 938 ;43777254" ;7547 ;47< ;43377 =27 >4547"48 .38 847 =4?43 78 5473 639675 4 64 /754 2" 238 927295 4 @ 4 /743727 2625 27 !234957- /! * 7 77843 4 9272439 2942 32647 #447- # * 7 A477 78 4 78457 "23 46" 92475% $4 92845 "23 5 6643 5434 5347 7 #% . 743 2" "79275 "23 4 "23495 4B275 5434 47 "32 4 92724395 $222+ 5347 2 745 :% >4-4 "32957647186341591% 3896- 5 7 (696 87 76 7 56 6 56 7862 /6 (696 87 7 796 87 8966 9676 776- 56 8986 795 7 797,6 66 6 967 65 76 796 7762 + 8976- 5 967 "#$ 796 6 76 7 76876 976 9*- 66 797 7 9777 11%% 2- ,7 11%%2- * 7 3794 11%%2 7 56 11%%22 .569 7889756 96 96 67 969 9676 5 7969 ,7976- 622 6769 7 /6 11%% 2- 879 6 72 11%%2 7 56 6 72 11%%22 & 6 6 966795 76 6 77966 78 8986 "56 6 72 11%%:2 7 )66 7 "7,;7 11%%2- 5696 7969 6 696 7 6 96 96966 5 792 & 6796 96 67 7 56 6 77966 78 788975 57 56 796 87 9696 7 97569 6 97 6 5 7 7 69 ,7976 7 96969- 56967 967 76 8987 86 7 79 7 9 ,69 796 7762 + 7 796 79 6 9769*- "76 6 72 11%%2 ,676 56 97 6 (696 98 5 77 676 996 "#$ 7* 7 56 (696 7,77 79 7 56 6 56 7862 + 569 6- "#$ 9796 5 966 899 79 67- 56967 5 7969 "#$ 6569 5 569 7969 7 5 79 796 6 7 6 9 56 67 5 792 &569 79 6 788975 8986 & 6 72 11%%:2- 5696 7 796 69 5 79 6 967 56 "#$ 95- 6<6 56 966 7 7 7,6 869 7969 57 6 6792 06 69 7 79 7887 7 8697*6 7 8, 11%% 2 5 ,676 56 9676 967 797 56 79 6 8986 /* 7 07 11%%1722 =6,69- 569 879 7697,6 967 89696 696 5 967 5 ,7976 *6 >7 7 97 89- 56967 9 56 67 7 5 "#$ 79- 55 9696 <7 56 6 967 65 9 79 6 76 796 7762 +786 898696 56 795 796 6 &6 6 72 11%%:2 7 9676 569 7889756 796 11%%:2- 5696 6 )79 7 7 6 7 6897 6987 7 7*7 6696 796 7996 2 =696- 6 56 898696 56 795 5 867 6857 967 5 "#$ 9676 7- 5696 796 666 7*6 56 6966 77 896 7 6 7 69,7 7 56 6 56 7862 456 795 89 ,6 7 566 6- 7 7 6 97 9 5 79 7,7762 =6,69- 7 5 56 76 9 59 967 594- 6 57,6 68 77 967 65- 56 967 9 69 594 796 6962 !79 967 6966 77 89656,6 6 8, 7 5 11%%22 =6,69- 7 6897 7887 5 6966 77 7
,76- 6 57,6 56 6 652 86- 6 566 <7 7 788 56 7 9676 967 66962 456 6897 7887 5 87869 6 "697 8<7 9676 77 676 "697 "#$- 55 7 7*6 9 56 867* 5 86 /8 866 9 677 7?6 772 .,697 56 776 7 % 6 6962 456 9676 776 8797,6 7 9676 569 796 79 6 6-5 7 8697*6 7 8, 11%% 2- 77 7969 6-57 76876 6 7889756 9 96 67 62 =6,69- 7 6 8, 7 5 11%%:2-56 97 6 11%%:2-56 776 9711%%:2-569 57 11%%:2-56 69 11%%:2-56 6 696 89 7 9 967 56 79 6 6- 7 6 6- 56569 56 6 686 5696 7 68 56 646 776 9 967 "697 "#$ 7 696 72 456 ,6 776 686 5696 7 666 ,69 56 776 66 "6969 6 72 11%%7- 1%%2 7 57 66 6 7 796 79 6 6 6962 + 56 6897 7887 6- 56 ,76 77 796 6 969,6 676 7 967 5 "#$ 96762 06 8796 9676 967 5 967 9 <7,76 77 969 76 56 8976 77 96,2 + 7- 56 87 6 5 ,7976 967 797 ,676 (696 8 56 7762 456 87869 9746 7 2 + 56 6 1- 56 67 79 6 5 6966 77 6 7 56 67 65 76 56 795 962 !956996- 56 898696 56 795 9676 6,96 796 6 7 (696 967 65 6 6 5 6 796 89862 /6 6 56 67 56 9676 7762 456 6897 7887 56 6966 79 6 "697 9676 77 89,6 6 2 /6 62
42
9
5
6
4
4
23
3
2
9
5
6
4
3 2
234
45 6 6 56 67 89696 9 56 792 4 76 796 56- 56 76 5 77 996796 7 7 5 (696 869 6 56 772 & 56 898696 56 786 679 7 ,76 56 56 967 652 4566 65 796 6 56 <7 6 62$
7
%5
!!
9
2"
45
42
9
2
5
3
4
6
5
6
4
4
23 &
4
6
35
9
5'
53
4
.9 7 6 56 779 ,7976 1 9 69,7 2 5 2 @33 4 4 4 3 5 7 9 96 6 9 6 @ 33 4 4 4 3 72 456 6 2 66 6569 5 9 7969 69,7 9 7 ,7976- (696 8696 796 666 792 !9 56 676 68- 6 76 57 675 ,7976 57 6867 469- 755 8976 7 * 67 6 76 9 97 56 786 67 56 ,79762 429 25 95!956534423 + 79 6- 56 ,7976 1 796 9689666 7 56 7 957 86A 56 7 97 862 456 86 9 675 ,7976 7 679 7 7 7 69 79 66 56 823 ,69 9 7 ,7976 56 62 456 97 86 796 ,797686<2 45- 6 57,6 56 9689667 1 @ B9 C 132 9 2 @ 33 4 4 4 3 5 7 6 @ 33 4 4 4 3 72 B 7 823 ,69 79 7 9 56 65 ,79762 !9 769 6- 56 6,76 9689667 @ B9 C - @9B C- 7 @9B C 112 796 7 966,7- 66 7 87 11%% - 82 3%22 + 566 9689667- 567 23 6 7 ,69 @ 11 3 4 4 4 3 1 2 7 56 276 69,7 9 7 96 - @11 3 4 4 4 3 1 2 6 565 69,7 ,797667 @1 3 4 4 4 3 2 7 7 69,72 456 796 9 56 97 86 796 6<6 7 92 9 56 5 28 79 7 56 7*6 6 696 ,76 56 792 !7-B @1B 3 4 4 4 3B 2 567 28 7 792 66!4236 &9 87 7 5 11%%12- 56 79 6 696 5696 7 788976 79 6- 7 6 6966 967 9967 666 76 9 7 6 7 697 9967 ,69 6 7 7 6 6966 566967 2 456 796 7 B B 7 5 9 9 796 76 6 8 28 8,6 6<6 7962 ! 87 11%% - 82 332- 56 6 7 56 79 9 6 7 697 6866 896- 9 6786 56D&6 896 131229 @ 3 1 2 5696 56 7 87 12@ C C4 4 4 57 696 7 779 896 9 56 79- 566 56 9 4 3124 @ % 57,6 6 6 56 962 456967 796 56 62 56 57 56 7 796 6 8966 56 79- 7 7 56 79 96 669 132- 66 87 7 5 11%%1- 82 13322 4569696- 132 968966 7 7 79 62 (64423 &4 63595'53 4 456 79 5 6 7 6 676 8987 862 E6 6 56 7 2 8 79 7*6 66,69 @ 1 3 4 4 4 3 2 9968 56 8 796 66,76 56 786 ,7976 79 5 1 2 456 8987 86 679 56 79 7 56 7 79 796 ,6 2 9 @ 3 92@3 7 B @2 4 12 456 78 898696 566 679 796 776 /* 7 07 11%%12 7 87 11%% 22 F69 56 78 7,6- 56 679 796 6 7 787 97 96 7 7 7 5 6 <2
$
(
6
4
4
23 )
6
5
23
234
3
'
9
45
9
4
6
3 45
(*
2
9
4
456 795 7 697,6 795 9 696 67- 56 77 996 796 5 7 69,7 9 6 9666 796 89662 4569696- 56 795 69 *6 579769 9676 8962 + 9676- 8 7*69 6 7 7*6 7 56 966 77 97 9 9672 =6,69- 7 77 97 96676 5 (696 67- 7889 8976 65 9 967 57 7 7*6 5 7* 597 796 96 96-6 779 96-656 796 6 78898976 9 776 772 96,69- 56 *6 79 "#$ 7 7969 ,7976 57 7 6 67 6 5 5 792 456 795 9 56 788976 79 6 7 96 /* 7 07 11%%172 7 9 996796 796 776 87 6 9 79 6 72 + 56 76 6 9666- 56 697 56 795 7886 56 79 6 8966 7 A ",6 7 7 5 676 567969 77-56 776 77-56 7 5 676 7 6 6 697 5 792 876 56 79- 89,6 676 56 5 69,7 796 762 45 67 89696 968676 56 5 679 57,6 ,6962 + 56 - 56 68 56 67 89696 796 6876 96 672 !23 -4743 7328927 2 4 # -23 544 >4 78 =7 C**D 66% ,' 78 @-4 % C*D%%5 95423 4956 .6 *6 68 9 56 697 56 9797 5 676 69,7 7 7969 6 6962 &569 6679 9797 9696- 69,7 9- 622 7 56 6 56 7862 4 69 566 (696 76- 6 5 565 23 ,69 7,776 69,7 9 56 ,797665 633 4 4 4 3 779 56 866523 ,69 96747 57 7 7 69,7 6 56 7762 =66-5 852 + 76 57 56 96758 666 69,76 7 866 77 ,6 56 679 96758 @ 3 12 5696 7 *5 25 66 9 79679 79 57 7 7*6 ,76 9 (696 9666 56 772 ("!57+ *663 234 2)659,4236 4 45 53 2 45 6!5 !9 67 86- 56 97 ,69 5 69,7 6 6966 7 66 56 ,69 7,776 5 69,72 + 76 7 69,7 796 7,776- 56 79 8 67 56 6 79 2 =6,69- 56 7 69,7 7,776- 5 @5 33 7 56 79 66 @ 3 4 5 3 4 4 4 % % 222 222 222 222 % 4 4 4 3 % 6 7 8@9 % 3 1:2 5696 56 7 9 56 6 79 9968 56 ,76 57 66 96,62 + 9 6- 5 9797 87979 966,7- 7 7 7 697 8 6- 5 79 69,7 796 7,776 (6962 !9 6786- <77 6 696 796 7,776 676- 56967 97 89 69 796 7,776 8 56 996 8692 ("!5 + 6 234 -2& ,9)5 456 *6 ,7976 696- 967 "#$ 797 - 66 7 - 7 7969 > ,79762 =66- 56 96758 666 56 69,67969 "#$ 7 56 69,6 5 69,7 7 6 96 7 @13 21 C C 23 1G2 5696 56 6 6 2 66 7 7679 52 =66- 67 1G2 5 9 2 @ 3:3'3 4443 5- 7 9 8 57 6 7969 69,7 796 7,776 56 44 4 -4743 --34-23 3+ 7 .7-47 4 % C*D 54927 *%
7 5 56 79692 96 897- 696 57 56 7969 ,76 7 7,6976 5 ,76 56 7679692 456 79 6 56 967 69796 87 687 56 95 976 "#$- 7 56 967 6 6 7,6 132 7 1 2 9696 779 6 6962 4569696- 7 6 6 687 56 69,67969 95 976H @133 2 56 69,6 5 95 976 H @1332 79 H @ 13 21 C C 2313 21 C C 2 1I2 @ 13 21H C1H C H C1H C H 23 1'2 55 779 56 69796 "#$ 69872 + 79 7- 7* 56 6 696 69,7 "#$ 6 56 96758 H @ H - 5696 @ 3 3 4 4 4 4 5 222 222 222 222 222 222 222 222 222 222 4 4 4 1 3 % % % % % % 4 4 4 % 3 1 1 3 % % % 4 4 4 % % % % 3 1 1 3 6 7 7 7 7 83 13%2 7 H @ 14 4 4 3H 3H 3H 2 7 56 9968 5 95 976 H @14 4 4 3H 3H 3H 2 2 . 96- 9666 6569 5 ,76 7 7 6 696 9 "#$ 56 8966 682 45 87979 96 6,7 56 9676 6 69 5696- 5696 6 96 6 5 69,7 796 7,776 7 56 6 56 786 57 7969 "#$ 69,72 + 56 76 7969 69,7- 56 9 79 9968 ,76 56 7969 "#$ 6 696 57,6 6 96,62 &6- 9 6786- 57 56 <7 95 976 "#$ 7 56 6 56 786- 262 H @14 4 4 3H 3H 2- 56 5 79 796 7,776 5 52 + 5 76- 56 9 13%2 57 6 96,6- 7 56 <7 5966 66 469 ,69- 7 77 879 7 1:22 45 57 666 9 56 795 67 7 6 7 56 967 65 6 6 7692 456 6786 696 7,6 796 56 966,7 9 6 5 "#$ 672 !9 569 6 696- 56 9797 796 6697 686 56 *> 796 56 6 696 7 56 6966 57 6972 .45!6 2 45 (* 294 &6 57 6 57,6 7 776 896 7969 6 696 "#$ 7 5 79- 7 6 7 6 5 776 9 44 "23 4+64 #372 78 #355 C*D% 44 4 8E4347 375"23275 7 29 78 527 C**D 66% ))F% $4 /CD425 954 5 6321848 7 125 78 >7 C'FD 6% F % G
79 672 ! /* 7 07 11%%172- 56 795 8966 7 A 32 F6 7 7 676 56 77 7 7 7 5 676 79 69 77 7 7 676 56 79 7 72 + 9 ,76 7 5 676 796 8 6 67 56 7 67 56 6962 456 7 676 56 5 69,7 9 56 7969 77 6569 5 56 69,6 5 6 696 896 7 5 7762 =66- 5 79 7 7 7 6 676 7 696 7,6 56 6966 76 122 12 1234567 !9 697- ,6 79 7 7 9 7 896, 69733 19 676 56 <9 7 68 32- 86 7 876 676 56 5 9 69,7 56 6867 56 5 23 ,69 7 56 69,6 77 7 56 896, 697 79 7 7 9 ,7976 6 79 2 @ 94 392 3B2 1332 @ 92 B2 C1 2 9 392 B2 3 1312 5696 92 56 5 28 79 56 79 676 9 56 896, 697 - 7 B2 56 823 ,69 7 9 56 65 ,79762 456 68 676 56 5 77 2 7 86A 56 86 9 56 896, 697- 7 56 676 97 86 392 B2 96 5 56 79 1 2 2 + 2 7969 "#$ 9 6786- 56 97 86 7 ,69 7969 ,76 96 7 56 9968 52 &9-56 /68 1312 968676 9 7 696 &9-56 786 57 7 ,76 9 57,6 6 9796 9 7969 5 9662 !9 7 5 696 5 ,76- @ 5 7 1312 66 8 2 @ 92B C2 9 392B2 @ - 55 6 5 56 6966 7 9 96896672 4569696- 9 6 696 5 77 996796- 697 796 66792 2 8294567 456 676 5 69,7 97969 6 696- 56 676 9 56 69,7 56 5 696 6569 5 56 5 6 696 5 77 996796 796 66 56 7 2 3 ,69 2 2 4566 5 69,7 796 6 96676 56 79 92 7 7 B2 8987 86 56 ,7976 79 J @2 5 1 2 2 79 122 456 676 56 79 7 7 669 77 68 1 7,6
6 ,6966 969 967562 + 9 7887 6- 56 795 8 56 7 869676 576 56 ,7976K 676 769 57 3% 2 456 68 7,6 89,6 5 676 56 7969 ,7976 7 6 7 6 76 9 772 06 66 56 <7 5 79 676 7 92 @ 92 7 <7 7 7 B @2 B2 9 2 @ 33 4 4 4 3 5- 5696 56 <7 697 56 7 95 9 769 ,69662 /79- 56 <7 679 56 5 69,7 796 66 72 @2 9 82 456 676 5 69,7 "#$ 7 6 96 7*6 9 56 87979 666 56 676 77 ,692 2 .25 !92!59456 2 45 (* 294 56 57 5 56 786- 56 7 95 89,6 5 676 57 67 < 56 969 1'22 8 1312 6 2 @92 B2 C9 392 B2 @ 4 13 2 =66- 9 7 697 @ 33 4 4 4 3 - 56 6,766 666 56 7969 6 696 7 56 5 676 9796 7969 966 6962 456 969 57 567969 ,76 56 676 5 696 67 56 69,67969 ,76 7 797,6 6796 56 795 6 56962 456 795 5796 5 89869 5 6987 65 5 7 56 6 6 65 8986 )5 7E 13'G322 56 57 56 795 7,6 7 6 6 (696 76 77 7,77A 7 6 6 9 6987 56 5 786 ,76 9968 56 7969 69,7 "#$ 9 569 7969 6 6962 96,69- 7 6 6 9 69787 5 "#$ 76 5 69,7 9 79 796 7,776 5 7 7969 9 55 56 "#$ 69,7 7,776 62 &6 57 6 57,6 5 7969 6 696 69,7 9 "#$- 15 2 2C5 69,7 9 5 79- 87979 5 5 69,7 7 56 6 56 786 5 69,7 "#$ 9 56 9968 79692 !9 6786- 5 67 - 56 6 57,6 69,7 5 9 5 79 7,776 "#$ 69,7 9 56 9968 79692 45 7 87 76 7 967 6 6,96 5 867 87 9 56 795 7 56 676 5 "#$2 + 5 76- 56 9797 79 7 6 8796 @9 % 3 132 44 125 78 >7 C'FD 6% F 4B27 F% !23 9263527 2" 4285 544 .7-47 4 % C*D% '
5696 56 8797 79 77 686 56 *> 796 56 6 696 7 1:2 7 13%2- 7 % 968966 56 69,7 "#$ 7 56 6 56 7862 45 8796 79 86 9 56 9 791 2 1312 57 1 2 @ % 4 132 $ 5 1312 7 8792 7976 5 7,6 89,6 2 2 @92 B2 C % 9 392 B2 3 13:2 5696 2 7 56 5 676 69,7 ,7976 6 9 55 9 9687969 69,7 796 7,776- 72 5 6 15 232 7 56 676 9 5 869 5696 56 99687969 69,7 2 456 96976 67 5 57 76 7969 ,76 796 7,776 7 56 6 56 786- 56 786 7969 97 86 796 96 7 56 <75 5 69,7- 676 56 696 56 <75 9 56 9 79 1 2 796 67 4692 45 8 96>6 56 7 57 5696 7969 97 86 7 56 6 56 5 7862 45 96 57 7 666 9 56 676 2 A 56 <75 6962 796 67 9968 696 56 8692 B2 - 7 56 7969 97 86 7(6 566 69,72 !956996- 5 86 57 56 5 97 86 2 9 56 <75 69,7 67 4692 45 96 5 9 7 697 @ 33 4 4 4 3 7 57 87 9 56 967 65 6 6 62
$
2
9
5
6
4
3
234
6
3 45
234
42
96
456 795 7 6 7,6 89,6 676 5 69,7 9 "#$2 + 96 67- 89,6 5 69,7 9 567969- 56967969 <96 "#$ 796 7,7762 96,69- 7 676 5 69,7 "#$- 56 5 79 796 7,776 5 7 7969 5 7 9968 "#$ 96676 7,7762 + 5 66- 56 795 7967 89,6 7 967- 755 5 7 6 766 7L69787K 56 69796 6 696 6987 5 7 )5 7 E 13'G322 =6,69- 7 6897 796 776- 5 79 796 7,776 7,76 "#$ 8 7 6 52 + 69 967 594 796 9696- 6 57,6 788 9569 967 6562 + 87979- 6796 6966 56 7 967 5 "#$ 95 55C-H -5696 5 66 56 76 69,7 5 79 7,7762 & 6 7 8796 56 5 69,7 5 77- 56 967 6 79676 7969 <96 1'2 7 56 8796 5 567969 "#$ 966762 & 5556 8, 7 5 11%%2- 7 (696 7 967 5 788976 79 6 7 6 69796- 686 56 67 967 62 487- 79 967 796 8 967- 5696 56 79 676 7 <9 68 669 ,79 86 7 967 67 56 6 682 8, 7 5 11%%2 56 (6966 56 65 9 56 6966 6 7 9769*2 4566 65 57,6 6 <6- 7969 7 5 77 57 6 6 967 5 772 4 ,76 56 (696 7 967 5 79 6- 7 56 56967 79 6 132 7 1 2 62 &9 132- 9671 7 6 96 7 1 @ B9 C 3 13G2 ! 13G2- 687976 896 56 79 7 56 97 86 6569 5 97 56 7B 7 89,6 7 9672 456 7 6 56 79 1 2 7 568 6896 56 967 69 786 69,7 56 79 79 56 0669M9, 896 97 9 @1 3122 131229 3 13I2 5696N9O 66 56 757 86979 57 6 67,6 869 4692 & , 967 65 86 56 79 967 13I2 7 <9 68 7 56 8 13G2 7 56 <7 967 1 7 6 682 45 89,6 7 96 7976 9672 6679 56 967 56 97 86- 6 7 5* 86 7 87 ,7976 6 7 8 7 96 967 13G2 7 8, 7 5 11%%2 9 56 6966 762 =6,69- 56 6 6966 77- 6 66 66 56 97 862 56 57 9 56 76 9 "#$ 67 5 56 795- 97 86 796 7,776 8 5 5 35 - 7 6 6 67 13:22 & 7 6897 776- 9 6- 7 67 6 56 5 6 696 79 796 7,776 96 6 57 "#$-535 3 5- 7 6 77 57,6 7 67 6 5- 5696 56 97 86 67 469 7 6 67 13:22 !956996- 7 56 79 6 68 9669 56 79 7 7 9, 96 56 ,7976 56 44 3-47 C',FD 6% *,% 33
6- 7 56 795 57 6 <6 9 867 86 697 9967 56 97 86- 6 9 8 66 56 97 86 9 56 967 8986 5 878692 954/ 3954 3 39564945 429 295646 2 + 6897 7887 - 5696 796 (696 7 86 56 79 967 13I22 & 7 <9 7697,6-8, 7 5 11%%2 6 676 7D&6 79 1 2 89, 56 7 8 72122 ",6 5 87- 697,6 68 967 1+/2- 76 )56, 7 =69 11%%2- 7 6 69,6 7 2 9 @1 32122 1321229 32 13'2 77 788 56 0669M9, 896 97 7 56 56967 76 13I22 & 96 96 7 89?6 56 79 86<6 7 9696 2 C76 ,7976 6 8966 276 969692 456 96 967 796 76 96 68 1#/2 967- 77 )56, 7 =69 11%%22 + 5 76- 56 967 796 2 9 @P2129 42 11%2 6679 67- 56 7 969 212 9 +/ 7 P212 9 #/ 7 (69 78872 !956996- 56967 212 7 9 (696 - P212 57 6 676 9 (6962 4 86 56 7 969 56 967 6 9 6897 7887 6- 6 68 56 8767 97 9692 +99686,6 56569 +/ 9 #/ 56- ,6 56 967 56 79 7 56 7 676 B2 -56 967 9 "#$ 66 8 H2 @B2 92 4 1132 56 57 56 (6966 666 +/ 7 #/ 796 6897 7887-5696 86<7 5 7692 !9 * 7 87 12 9 13I2 7 ,6 79 7 9 56967 68- #/ 7 +/ 967 796 6,762 !9 6897 7887- 7 796 7,9 56 #/ 788975 57 56 867 87 86<7 6999 56 668 7567 6 7 56 +/ 788975 7 6 966 56 76 594 9 67 7 9 9672 =6,69- 6 )79 7 96 796 6 72 11%%2 76 57 56 #/ 788975 .7243 7292 4B 52 5 2 9264 54B47 274 54648 "234955 - 4 4543 2 6447 926272% 44 >8462 C'' D 6% 217 78 - C*)D 6% *)% 44 4 8595527 7 14475 78 ;47832 C'',D 66% * * 78 217 78 @- C*)D%
6697 56 6 65 56- 755 569 879 6 6 79 9672 . 56 569 57- 56 966 8, 7 5 11%%2- 56 #/ 788975 8699 6 1,6972 56 967 879 79 62 96,69-)56, 7 =69 11%%2 7,9 56 96 788975 6 96 76 86<72 456 6,66 9 56 87869 555 56 976 69 55 +/ 9 #/ 967 5 6 89669762 =6,69- 6897 679 56569 56 69 5 9 7- 569696- 6 69 5 7889756 9 7887 62 & 967 57 96 9676 "#$ 56 676 79 56 76 96 96 1F2 967- 7 766 8, 7 5 11%%2 7 96 56 79 69796 /* 7 07 13'''22 + 56 6 5 "#$ 967- 6 57,6 H2 @2Q129 32 1112 55 7 56 7992 7 569 7 2 456 676 56 7 87 2 Q12 89,6 9696 H2 92 2 ! 1112- 56 9696 967 7 7 #/ 967- 7 56 6576 89?6 2C76- 56967 79 796 2762 )8796 5 56 #/ 967- 56 786 676 7 79 2 B 962 !956996- 69 11%2 1132 5 57 56 #/ 55 76 56 87B2 P212 - 55 6 56 687976 676 7 7 7 87 56 792 =66- 56F 967 6 9696 57 56 #/ 9672 .9 2 429 295646 29 234 .,697- 6 57,6 5966 (696 967 9 5 "#$ 7 796 6 76 32 56 57 56 (696 476 3A !79 967 9 5 "#$ !+/A H2 @B2 132122 1 3212292 !#/A H2 @B2 P21292 !FA H2 @Q21292 12345 !/# 3445 27 4 4314 546 C/#D "234955 2" 4 "9235 C'D 34 548 2-443 5 4 7564 287-5 454 "23 4 9: "23495 C*D% !# 5 4 "923 "23495 57- 8349 546 C#D "234955 2" "9235 "32 C*D% !0 34"435 2 73453948 "234955 C**D 57-"9235 272% 3
7889756 +/- #/ 7 F 796 56967 56 76 56 78 65 56 56967 79 6 132 7 1 2 696 996- 7 57 66 6 8, 7 5 11%%22 + 9679 7887 56,69- 56 56 96 79 7 7 65 56 6 796 *- 7*6 7 (6966 56569 +/- #/ 9 F 796 6 9 967 7 56 679 5 57,6 (696 7786 8986962 + 6 76-56 F 967 9* 6 8976- 66 77 8, 7 5 11%%22 4569696- 6 56 79 967 69796 7 9 56 (696 79 967 65 7,6 56 8966 78872
5
9
3
9
5
4
5
4
=7, 6 (696 967 7697,6 9 5 "#$- 6 89,6 7 6897 7887 "697 9676 772 12!26423 2 45 65956 6676 77 5797696 6796A !9-6 9!9-6, 5!9-6 77 7,77!9-6 77 7 87979 5 7 (!9-69 77 9 56 <7 ,76 96676 769 7 77 962 /6- 56 776 7 (69 9 56 97666 896 669- 76 ,76 9 6 56 ,7976 7 56 6 56 786 6 87 72 4 76 56 8976 566 6 9 6- 6 6 7 ,6 86 9676 776- 55 7 66 56 9676 776 96 "6969 6 72 11%%7- 1%%22 .9 776 6 7969 67 86 "#$- 97 89 7 86 7 6 7 969 692 & 566 696 796 ?6 77 96,2 + 7 566 696- 7 ,796 <77 79- 9 6786 696 976 7 8967- * 896 6 7 6576 976 696 76- 55 796 7*6 7 <7 ,762 !956996- 9,6 96 9 56 "697 34445 6 <66 7 6867 696 76- 77 7 57 56 69,7 796 ?6 96,2 .,697- 56 776 1 6 696- ' 5 696 7 3 7969 6962 . 56 5 696- 3 796 ?6 96,- 1: 796 2 )8796 5 569 7887- 56 776 657 769 57 56 77 6 569 7887 796 79 6- 697 7969 57 56 6 7887 76876 9 9667 62 4 56* 56569 56 46 56 776 687 78898976 9 67 5 "#$ 56 795 6 7,6- 6 57,6 7996 6 6 )79 72 456 96 5 57 56 786 46 56 776 57 7 9 6(6 67- 56 6 77 97,6 65 9 67 56 792 45 6 5 96 76 /7 43 3-4 "923 284 "23 4 0. 43774 78 217 C* D 66% )*') 54 2 , 4 54345 54345 @745 C*)D 4545 5+134 545694 284 "23 272 9:%8, 7 5 11%%:2 9 6966 77- 5696 7 967,6 7 776 696 6 96 9 967 78872 #67 566 7 7 6 7886 &2 2 456 9676 77 9 56 6897 7887 7 7*6 9 56 867* 5 86 /8866- /677 &?6 #772 =66- 56 96676 56 776 796 56 76 7 56 96676 56 86 /88662 456 86 856 56 56 5- 9 6786- 56 /8866 &89 1%% 96676 56 6 &89 1%%2 45 86 6 7 "#$ 77 8 56 95 7969 1%%-7- 566- 57 7 96676 67 5966 5 8796 5 56 76792 $9 6 7 969 796 7,776 8 !6979 1%%2 )$+ >7 7,776 795 1%%2 456 <77 7 9,6 6 696 796 7*6 9 56 5 86 /8866- 7 6 76 57 7,776 8 795 1%%2 !9 6 96 676 7569- 56 7,77 56 77 576- 6 7 97 5 5966 98 77 5 9686 569 66A 456 "#$ 6 696 7 56 67 86 57,6 56 6 6966 66 7 796 7,776 9 67 8 7 6 7 9 5- 6 7 98 89 7 969- 7 56 98 <77 7 9,6 77 57 57,6 56 556 6966 6 62 456 (696 96676 76- 55 8 ,76 7 56 6 56 786-796 7*6 7 777 56 795 7 696 6 12 456 96676 6 976 9 3''IG 1%%%:- 89,I ,76 57 7 6 6 9 786 67 7 967 8792 96 97 7 56 6 696 7 6 56 77 7886 &232 545 4 &424 45 234 34296 + 969 ,676 56 8976 56 5 69,7 57 796 7,776 96 6 8796 5 "#$ 7 67 86- 7569 776 96- 5696 69,7 5 77 796 7,776 8 56 7 5 56 7969 9 55 "#$ <96 796 7,7762 456 7969 6 696 ,76 796 56 76 7 56 9676 7762 =66- 8796 5 56 9676 776- 6 97 9 56 5 77 - 7 6 ,676 6- 5 56 66 56 77 7(6 56 967 797 5 "#$2 3 ,3454 4 6696 56 8976 56 9676 796 56 776-56 967 7 696 968676 776-56 <7 ,76 7762 45 776 56 76 6 696 7 56 9676 776- 668 57 77 96, * 7 56 <7 ,76 56 776 796 989762 56 57- 5 7776- 56 44 52 4 42349 8595527 7 ;427 78 22 C*D 66% *% !23 53 92753927 2" 854 544 G- 4 % C*D% 3
7 96676 ,6 796 6 5 56 9676 7776 7 8697*6 7 8, 11%% - 82 %22 #67 87 796 98976 7 56 9676 776- 56 5966* 996 56 9676 776 968762 4569696- 56 776 (69 5 9686 96, 56 772 .,697- 56 69 6 696 ?6 96, 6 9 776- 755 "#$ 56 *6 ,7976 ?6 96,2 =66- 569 96 967 5 6 6 569 97 6 9 56 79 2 =6,69- 5 7 76 6897 6 6 6 62
5
4
5
2
9
5
6
4
3 2
5
9
3
86- 6 <9 5 6 786 96 67 5 "#$ 9 "6972 .786 967 96 2 29564 6423 563 456 967 7 796 7996 7 969,6 72 05 6,69 6 ,76- 96 6 696 97 66 7,7762 456 79 6 96676 5 56 666 776- 7 967 796 862 6679 56 967 594- 5 "#$ 676 796 89,6 9 56 996 7969 7 9 56 6 79692 =66- 6 7 "#$ 7 7 68697567 9672 #6 56 87 7 "#$- 56,69- 56 6(6,6 967 594 666 9 67 57 6 7 7779692 !9 6786- 9 56 77 96676 .69 1%% 11%%3%2- "#$ 7,776 9 56 6 7969 1%%2 !9 7 967 8 56 <9 7969 1%%- 6 66 7 596679697567 967 9 56 6 56 "#$ 7862 & 6 9* 5 5 676 "#$- 5 9968 7 7 65 967 594 9 9 6 969 86 56 7 7 56 679697567 9672 =66- 9 56 I 5 77 ,76- 6 7 6 I3'C3@ G: ,76 9 967 879 56 7 594 6 52 !9 967 56 79 6- 56 69 79 7 6 7 56 7 969 56 &6 7 D&6 6 696 76 3 57,6 6 86<62 6679 56 69 79- 5696 6976 697 7 56 78898976 7 56 56 6897 69796- 6 97 9697 66 ,6 67 96 6 762 !9 6786- 8697*6 7 8, 11%% 2 6 5966 79 9 569 967 6 7887 9 56 F/&- 56967 56 !6697 6669,6 87* )57 856 7 86 6 76 7 79 65- 5696 6 79 5 77 562 + 9 7887- 9 5 786 7 967 96 6- 56 69 44 "23 4+64 43774 78 217 C* D "22724 F% 44 175 4 % C*D 78 !4843 =454314 7 2" 19-2 C*D79 7 6 67 62 06 7 686966 5 7 7969 69 56 967 869976 7 6697 96 57 56 679 62 #67 7 6 56 7886 &212 456 7 969 56 &6 7 D&6 6 56 967 6 7 6696 56 8+)2 45 86<6 56 967 6 7 6,69 967 9692 !96 3A 5 "#$ 95 676- 786 98q3 99q1 99q3 00q1 00q3 01q1 01q3 02q1 02q3 03q1 03q3 04q1 04q3 05q1 -1.5 -1 -0.5 0 0.5 1 1.5 factor real-time factor final gdp final gdp real-time 12345 $4 H-34 5255 B34327B343 -325 345 2" H7 78 344 9: 8% $4 "923 4545 34 2727542774634125B343 4545% $4 9: 8 5 844748 5 5 4 8 548 2 454 4 "9235% 836!5 564423 95646 4 ,6 7 896 7 56 786 898696 56 795- 6 5 "#$ 676 796 5 76 <7 77 ,76 7 9676 772 456 9676 676 5 "#$ 796 676 676 769 7 6 96676 "#$ 7,776- 56 96 796 <9 5 676 "#$2 !96 3 5 56 9676 7 <7 5 676 "697 "#$ 7 6 7 56 9968 <7 7 9676 7969 772 56 57 56 <96 7 96 9 5679697969 95 976- 55 7 67 96 7 56 9686,6 5 56 79692 456 5 676 9 56 79 6 796-56,69- 55 95 976 H 7 5 67 1'22 4 7*6 566 87976 56 7969 "#$ <96- 56 696 9796 5 7969 7969 95 976 H @ 3 2 56 57 67 1'2 6,76 56 96758 H @ 13 21H C H C H 22 45 86 57 56 7969 3G
7,6976 56 7969 95 976 56 5 676 <96 3 5 6 788976 67 56 69,67969 95 976 "#$2 456 786 96 5 57 5 56 76 56 795 5 9 9676 77 7 <7 ,76 772 )879 9676 7 <7,76 77 96 5 57 56 <9 57 56 786- 69,7 "#$ 57,6 66 ?6 76 96,2 /6 56 795 696 57 5 77969 "#$ 796 67 7,6976- 96, 7969 "#$ 67 96 6,7 56 9676 5 676 9 56 5 "#$ 676 76 <7 772 45 5 ,6976 56 96 77 96, 786- 56967 786- 5696 "#$ 69,7 796 7,776-569 96 5 6 (696- 56 56 7 796 96 6866 56 96 6 5 772 + 56 6 57 56 786- 56 96, 796 7 7 5 676 6,76 7 669 66- 2 295643 95646 + 76 1- 56 786 967 96 9 "697 "#$ 796 5 69 67796 967 6999 1/2- 5696 56 967 796 8796 5 "#$ <96 9 56 <7 96676 7,776 56 7762 56 57 56 476 1A .786 967 96- / 9 67 967 776 967 594 65 67 3 1 3 79 +/ 9676 %23I:G %213I 1 79 #/ 9676 %23I': %211:' 79 F 9676 %213 %2 %G1 79 +/ 9676- 6 77 %213I %21I3 79 +/ <7 77 %23IG %211G G &6 +/ 9676 %21': %2 31% I &6 #/ 9676 %21G1 %2 3:' ' 576 R 9676 %2 1%1 %2 :I 12345 @435 7 4 4 525 475B348 "23495 433235 5 345649 2 B3432 9:% /7 4 927 I 4B273 /# 847245 4314 546 "234957-78 # 847245 8349 "234957-% $4 .= 284 5 7 234-345514 284 4548 5 B3432 9: 8% $4 72 97-4 "23495 5 4 "23495 59 5 4B 2 4 5 2543127 14 "23 9:% 967 594 7969- 676 56 97 7969 <96 96676 56 77 96 7 6 8796 5 56 9672 456 967 9 594 3 7 6
698966 7 7- 7 56 796 86 5 996 76797969- 56967 594 1 7 6 698966 7 7 96 679697567 9672 456 5 96 7 796 76 56 967 67 9 76 3 7 56 9796 7969 69 7 696 56 657 6 12 + 7 56 79 967- 7 86 6579* 6 796 6 56 967 6,77A 32 7 79696,6 1&62 6 55 676 7 967 9676 697,6 68 1+/2 12 7 &6 6 96 68 1#/2 967-7 2 967-7 5967-76 96967-7 55 67 56 7 9676 69,7 "#$2 !9 879 5 56 / 56 76- 56 ,7976 <7 "#$ %41:2 / 7969 57 5 ,7976 76 97,6 9672 456 967 96 7 6 796 7 A )879 96 ,69 697,6 68 967 19 3 7 12 96,67 7,776 56 697,6 788975- 87979 7 594 2 456 96 96 967 19 2 8699 92 66, 6 5 69,7 9 56 9676 786 67 96 967 96 19 3 7 22 4569696- 66 6 66<7 6 56 6 97 9 967 5 "#$2 #77 96, 57,6 679 87 56 967 797 19 3 7 2- 7 56 6 <7 77 67 7 69 / 9 56 7- 9 56 679697567 967 8796 5 56 9676 9672 =6,69- 56 (6966 666 56 / 96 566 7697,6 776 796 72 =66- 566 96 796 6 5 56 8697*6 7 8, 11%% 2- 9 6786- 5696 96, 57 7 7 87 967 F/& 796 6 6962 !7- 5 56 &6 6 967 7 56 576 967 796 679 86996- 6 7 5966 6579* 967 57,6 796 / 56 879 19G '22 29564 !592935 3 6)6!56 487- 7 89667 / 76 ,6 97 7 56 869976 56 6K967 869976 ,69 6- 67*69 5 7 966 6 5 7 967,6 76 967 7972 + <96 3- 6 57,6 66 (696 786 67 96 9 5 "#$ 7 6 7 (6966 5 9686 56 46 96, ,69 62 /6 5 5 7 7(6 56 967 869976- 6 9689 56 967 96 9 56 6,6 786 65 5966 679 7 56 6 56 7862 456 / 9 566 786 7 6 76 2 + 56 <9 786- 56 967 796 579 97,6 9 96 "#$2 + 56 6 56,69- 56 79 967 796 97,62 + 5 786-56 7,6 967 796 869962 F 56 <7 77 89,6 56 7 56 <9 786 8796 5 9676 77- 56967 5 96 56 6 786 9 5 56 7 9672 & 56 96, "#$ 96676 796 96 /7 43774 78 217 C* D 4 6% ) * 5 52 2"47 4 954 "234957- 57- H7 8 2"47 8245 72 48 2 348927 7 # 926348 5 "234957- 57- 344 8% 3'
476 A .786 967 96- / 786 &2 786 3'''1 1%%13 9 67 967 776 967 594 65 67 3 1 3 79 +/ 9676 %2 1I: %2 1 79 #/ 9676 %2 3 %2 GI: 79 F 9676 %2 G1% %2 GI: 79 +/ 9676- 6 77 %2 G% %2 GG3 79 +/ <7 77 %2 3:G %2 :1G G &6 +/ 9676 %2':G %21 % I &6 #/ 9676 %2 '13 %2IGG ' 576 R 9676 %2 I %21' 82 786 1%%11 1%%3 9 67 967 776 967 594 65 67 3 1 3 79 +/ 9676 %2%G %23%1' 1 79 #/ 9676 %2%'' %2%'I3 79 F 9676 %2%G1' %23I3 79 +/ 9676- 6 77 %2%G1: %23%I 79 +/ <7 77 %2%: 1 %2333G G &6 +/ 9676 %233 %231I I &6 #/ 9676 %23 'I %23:'I ' 576 R 9676 %231'' %2113% 12345 $4 13794 2" 9: 7 4 5564 2" 674 . 5 % 5435 5 %' 7 674 % !23 4 284 845936275 78 341275 544 4 *%
!96 1A !967 7 "#$- 796 967 6999 ,69 6 98m7 99m1 99m7 00m1 00m7 01m1 01m7 02m1 02m7 03m1 03m7 04m1 04m7 05m1 -1 -0.5 0 0.5 1
horizon 1: forecasts and gdp
factor ims factor, final data factor, no timely data ar dms final gdp
98m7 99m1 99m7 00m1 00m7 01m1 01m7 02m1 02m7 03m1 03m7 04m1 04m7 05m1 0 0.5 1 1.5 horizon 1: se 98m7 99m1 99m7 00m1 00m7 01m1 01m7 02m1 02m7 03m1 03m7 04m1 04m7 05m1 -1 -0.5 0 0.5 1
horizon 2: forecasts and gdp
factor ims factor, final data factor, no timely data ar dms final gdp
98m7 99m1 99m7 00m1 00m7 01m1 01m7 02m1 02m7 03m1 03m7 04m1 04m7 05m1 0 0.5 1 1.5 horizon 2: se 12345 $4 H35 78 38 H-345 525 9: -325 345 78 "234955 "23 4 725955 78 "234955 345649142% $4 549278 78 "23 H-345 525 5B348 "23495 433235% 13
966,7 56 <9 786- 66 77 <96 3- 5 66 7(6 56 967 797 56967 56 6(6 56 9 96, 796 7 56 6 7862 54,5 29564 !592935 2,59 45 + 7 56 786 96 7,6- 6 ,676 56 967,6 869976 56 6 9 6,69 69,72 !9 5 8986- 6 8966 56 967- "#$ 95- 7 6 7 796 967 6999 9 6,69 96676 <96 12 & <9 896 56 967 879 57 56 967 56 79 6 796 6 79 9 56 69,72 =66- 6 5 56 / 96- 5696 796 (6966 666 79 676 9676 9 <7 77 9 56 96, 56 6 5 69,72 456 796 967 6999 5 56 6 7 95 879 56 <96 69676 9 56 6 56 6 56 786- 77 79 56 786 967 6999 6 56 896, 62 !956996- 56 <9 879 56 786- 56 86 &6 6579* 6 96 679 86996 56 79 6 57 56 6 879- 755 56 967 869976 7 6 6 89 56 <9 879 56 7862 456 76 896 6696 9 <96 - 5696 56 796 967 6999 !96 A 667,6 796 6999 &6 6 79 6 98m7 99m1 99m7 00m1 00m7 01m1 01m7 02m1 02m7 03m1 03m7 04m1 04m7 05m1 0 0.5 1 1.5 2 2.5 3 3.5 4 horizon 1 em factor ims em factor final em factor no timely data ar dms 98m7 99m1 99m7 00m1 00m7 01m1 01m7 02m1 02m7 03m1 03m7 04m1 04m7 05m1 0 0.5 1 1.5 2 2.5 3 3.5 4 horizon 2 12345 $4 H-34 5255 5B348 "23495 433235 2" 4 .= 284 81848 2 4 5B348 "23495 433235 2" 4 "923 2845% . 14 2" 4 3414 43323 425 274 78945 7 7"4323 "23495 643"23794 2" 4 "923 2845%
56 &6 6 ,6 56 796 967 6999 56 79 6 796 52 & ,76 56 967,6 6999 6 6 76 7 699 967 869976 9 56 9686,6 869 8796 5 56 &6 62 &7- 56 79 967 796 792 456 <96 7 5 57 5696 796 6 869 6- 5696 56 79 967 8699 96 57 56 &6 6- 7 56 967,6 796 6999 796 769 57 62 =66- 755 56 / 56 79 6 77 769 79 76 1- 5696 66 6 976 77 68979 967,6 967 796 56 79 6 6 869 62 45 76 57 5696 9 9 9569 89,6 6 56 79 6 6 56962 .,697- 56 6976 967 869976 7 56 6- 87979 56 <9 879 56 786- 76 57 967 "697 "#$ 9676 7 9 7*2 45 7 < 6 5 569 9* 56 966 66 967 7972 #K& 6 72 11%%:2- 9 6786- < 57 ,69 6 967 696 97,6 9 F/& 796 6 696 56 '%-7 '%-7 59 96'%-7 5942 5646 29 059534 2!264236 2 45 4654 &7 56 7*9 56 967 96 76 79- 6 ,676 56569 7697,6 8 56 776 5 67 89,66 967 7972 &7 (696 98 77 568 6 56 8976 79 98- 87979- 55 98 5 77969 79 796 897 9 9672 8, 7 5 11%%:2 < 57 56 797 56 79 67 7 6 7(66 56 97 6 56 77 5 9686 56 792 &55 6 7686 97 89696 6 79 6 966,7 ,7976- 7 86 879 (696 86 776 5 76 96 9 89, 56 967 869976 56 766 6 6 57,6 6 7,62 06 !9 6 72 11%% 2 7 8, 7 5 11%%:2 7 96,6 697 98 77 9 56 56 776- 7 8796 56 967 96 5 56 766 6 962 06 5 9 98 56 77A & 776 5 7969 6 696 7879 9 & 776 5 9 & 776 5 56 9,6 6 696 16 6867- 7- 69 & 776 5 56 <77 6 696 1696 976- 6576 976- * 79*6 622 44 52 ;427 78 22 C*D 78 4 #274 132 3455 7 66478+ .% % $4 7818 1345 97 -7 4 "278 7 4 8 66478+ .%% 1
456 <9 98 5 7969 6 696 569 57 "#$ ,76 56 6 )79 7 96 9 &6 6 72 11%%:22 & 566 6 696 57,6 6 69876- 796 7,776 5 67 7 796 ?6 96, 9 786-56 5 6 7 96 9 9 786-56 79 672 4786-56 6 98 96,6 56 97 89 6 7 9692 & 56 5 79 566 696 796 7 ?6 96, 7 57,6 56 796 87 72 456 98 5 9,6 77 7 <77 6 696 96,6 56 6 69,7 9 56 772 !967 96 9 566 7697,6 776 7 6 76 2 05 7969 77 7 97 77- 56 967 797 5 96 57 56 766 6- 7 7 6 69,6 9 876 & 7 8 56 762 4569696- 5696 66 6 7 67 6 97 6 56 7969 77 7 "#$-755 96, 56 579 56 967 869976 52 + 9,6 77 96,6 9 56 776- 66 876 )- 56 967 797 669976 5 962 !9 56 <77 77- 56 96 796 62 !9 56 7- 56 <77 6 696 57,6 7 67,6 87 56 967 797- 56967 56 96 56 967 869976 9 56 68697567 9672 .,697- 56 766 8 56 6 66 6 78898976- 7 56 77 96 67 7 67 7 5 66997 967 8699762
1
23
6
23
6
45 87869 6 7 79 6 9 67 5 "#$ 6966 772 456 795 7886 86 5 56 896 79 67 5 776 9676 772 456 795 89,6 5 86 57 968966 676 56 5 69,7 9 56 6 696 77- 879 79 "#$2 456 6897 7887 "697 "#$ 68 7 ,6- 646 9676 7762 6 )79 7 7 6 7 967 6696- 5696 6 56 6 696 796 96,6 9 56 776- 6 57 56 46 56 776 78898976 56 8966 62 456 6897 967 96 9 "697 "#$ 5 57 77 96, 57,6 7 9 87 56 967 962 & 5 969 6(6 756,6 5 77 57 7,776 7,76 "#$2 + 6 5 69,7 56 967 6 67 77 89,66 56 967 8699762 & 56 5 79- 56 9,6 77 57 56 6 87 56 967 7972 )8796 5 86 6579* 6- 56 9676 79 967 67 77 769 /2 =6,69- 7 879 967 6999 ,69 6 96,67 57 5696 7 6 6 6 869 5 7 6 967 869976 967,6 56 6579* 62 45 67,6 9 9 89,66 56 65 6 56962476 A .786 967 96- / 98 9 67 967 776 967 594 65 67 3 1 %2 8766 6 3 79 +/ 9676 %23I:G %213I 1 79 #/ 9676 %23I': %211:' 79 F 9676 %213 %2 %G1 79 +/ 9676- 6 77 %213I %21I3 79 +/ <7 77 %23IG %211G &2 6 5 7969 77 : 79 +/ 9676 %23I'1 %213I G 79 #/ 9676 %23'11 %211I I 79 F 9676 %213:G %2 3% ' 79 +/ 9676- 6 77 %213: %21I 3% 79 +/ <7 77 %23IGG %211:G 82 6 5 9 77 33 79 +/ 9676 %23':3 %211%3 31 79 #/ 9676 %23''G %21 3 79 F 9676 %21 %% %2 1 3 79 +/ 9676- 6 77 %213GG %213% 3 79 +/ <7 77 %23' %211G1 )2 6 5 9,6 77 3: 79 +/ 9676 %2%1 %2 :G 3G 79 #/ 9676 %2::I: %2 31 3I 79 F 9676 %2:' %2 1:1 3' 79 +/ 9676- 6 77 %21: %2 %3I 1% 79 +/ <7 77 %231G %2 33G #2 6 5 <77 77 13 79 +/ 9676 %23I %21 '' 11 79 #/ 9676 %23I%' %21 ' 1 79 F 9676 %21%'1 %2 1I 1 79 +/ 9676- 6 77 %21 %21I'I 1 79 +/ <7 77 %23G %211'G 12345 !23 4 284 845936275 78 341275 544 4 *% 1
/6 5 6 56 <9 7887 5 9676 776- 7 86 96 9 96 9* 796 7 879 5 569 65 9 7 7 69 87 "#$ 7 5 69,72 /5 7 6,77 89,6 7 9 56 967,6 869976 56 65 56 5696 7- 96,69- 6 9 6 7,69 7 7 86 5969 5 "#$ 967 6 7 6 797,6 6 7 5569 6966 96 77 692
5
5
9
53
5
6
N3O &- !2- )979- 62- !9- 2- E88- 2- D6966- "2 11%%:2- 56 9 A 497* "95 667 46- )$6 09* $7869 : 2 N1O &6- 2- =69- S2- 796- 2 11%%:2- +6987 7 7*7 5 7 796 97 6- S97 #7 T)9- 952 N O 879- &2- "6- 62- $79- "2 11%%2- 896 6 967 56 69 7967 "#$- +6977 S97 !967 1%- G:%2 NO 87-S2 11%% 2- +6967 4569 9 !79 6 E796 #6- 6 97 G3- 3 3G12 NO 87- S2- 5- /2 11%%12- #669 56 569 !79 &88976 !79 6- 697 G%- 3'31132 N:O 8697*6- 82- 8,-S2 11%% 2- 679 $ 7 #7765 ,96- S9 7 679 %- 1:2 NGO 8,- S2- 5- /2 11%%2- F697 7 )879 !79876 !967-+6977 S97 )697 87* 3- 33G332NIO 8,- S2- 5- /2 11%%:2- &96 96 #77 &7 8669 9 !79 &7-S97 69 3 1- 3:'3'2 N'O )56,- "2- =69- #2 11%%2- 5879769 96 68 67 9 967 6 8966- +6977 S97 !967 13- 1%313I2 N3%O )5- "2- E- &2 13'G32- 86 E679 F76 +6987- #9- 7 9787 46 /696 6676 /696- 66,6 7 /7 - G1 G2 .5 7 4+64 "23 "23495 92727 544 664725 4 % C*)D% :227- "23 8 7436227 78 987- 57- 4 # -23 7 92727 5 243 6632945 5 8595548 7 #39472 C*D%
N33O )66- 2- "7,;7- &2 11%%2- 796 !967 5 6 !966 #77A !967 F/ 8 95- 6- *A 266973419719715118415567716186517592 N31O )66- 2- =69- #2 13''I2- !967 46 /696- )796 F,69 $962 N3 O #K&- &2- "76- #2- /9- $2 11%%:2- 1F2$967 7 796 /7- 9867 )697 87* 09* $7869 :%2 N3O ,7- 2 11%%2- 05696 &96 06 5U 66746 76 56 796-+6977 S97 )697 87* 3- 31G3G2 N3O ,7- )2- E- )242 - $57M769- "2 11%%12- 456 1%%3 966 7 56 )57 !6 577 &, +6A +6 6 6 9 8- !6697 66 69,6 87* )57 $6986,6 VW1%%1- 1: 2 N3:O !6697 6669,6 87* )57 11%%32- )!5&+ 87*9 66676- *A 912417931841 357312 78 767451874 713892 N3GO !9- 2- =7- 2- E88- 2- 665- E2 11%% 2- # <77 ,7976 568 96 7 >7 7 967 7, 56 69 7967U-S97 679 %- 31 312 N3IO "76- #2- 665- E2- /7- #2 11%%2- 57 "#$ 7 +>7A 456 66746 +977 )6 796 #77 66676- !6697 6669,6 879 !76 7 # /696 1%%12 N3'O "6969- )2- 09- &2- /64- !2 11%%72- = 56 867* 667 ) 6 679 $A & &7 876 66746 #77- 456 595 &69 7 S97 7 !76 3:- 1GG1'12 N1%O "6969- )2- M774- 2- 09- &2- /64- !2 11%%2- & 66746 #77 /6 9 "697 M6 796 D7976- /569 S7595 31- G :2 N13O "56- 2- /*- &2- D7*7,- 62 11%%:2- +#&/ 6696A !9569 66 7 56 #96- 69 66,6- 952 N11O =67- )2- /- D2 11%%:2- 7 &88976 !79 6A + +89 7 =7,6 7E796 569 D7976U- 87869 89666 7 56 595 &697 /69 66 56 69 /6 1%%:2 N1 O +*779- 62- S7- S2- 68- 02 11%%2- 86 )6 +66A #6 7 =678 #77 =68U-S97 86 )6 67966 7 &7 3- %' :2 1G
N1O M7867- "2- E7579- D2- $96- /2 11%%2- !967 8767 7 9 7 5696 6 7,697A 7 7887 FM>7- 87* 7 09* $7869 1:I2 N1O E 62- #2 11%%12- /77 &7 5 #77- 1 6-062 N1:O E7*685- =2 13'' 2- +9 86 6 696 77- 1 6-/89692 N1GO 796- 2 11%%:2- $76 77 6987 7 7*7- +$ 8 F,69- 62 N1IO 796- 2- /*- S2- 07- 2 11%%2- & )879 #96 7 +69 76 68 &6 65 9 !967 796 46 /696- S97 69- 952 N1'O 797- 62- 9777-X2 11%% 2- & 56 )6 +6 86 )6 876 5 7 V7969 /696- S97 &886 69 3I- 1G 2 N %O 56- S2- /5- 62- 0676- 2- 095- /2- /77479- 2 11%%2- & +79 5 "#$ 7 79 76 V7969 "#$ "95- S97 33- 3%I31'2 N 3O *- /2- 3794- $2 11%%2- !967 "697 "#$ 7 5 !966 F 5 +!. 86 ) #77- A /9- S22- 06957769- 42 1622- + /9,6 #77 86 )6 7 679 $ &7- /8969 D697- 3'I2 N 1O 5- /2M2- M957- 42- E757- "2S2 11%%2- 456 &95- A S2 "6 6- 02 =796- 7 X2 9 1622- =7* )877 /7 D2 3-/8969- 3 G3:I2 N O 56- E2 11%%2- 57 7969 "#$ 95 7 5 6 79 6- S97 !967 1- G'12 N O 6769- "2- /6- !2 11%% 2- /5969 676 69 7967 967 "#$ 67 5 77- 9867 )697 87* 09* $7869 1G:2 N O /*- S2- 07- 2 13'''2- !967 +>7- S97 679 - 1' 2 N :O /*- S2- 07- 2 11%%172- 796 !967 F #( +66-S97 86 T /7 1%- 3G3:12
N GO /*- S2- 07- 2 11%%12- !967 F $987 )86 !9 7 E796 569 $969- S97 56 &697 /77 &7 'G -33:G33G'2
!!53
"
$
7
*234
3
'
9
45
9
4
6
54
456 86 9676 776 5 87869 7 66 56 9676 776 96 "6969 6 72 11%%7- 1%%2- 9 55 7 )$+ >7 7 "#$ 76 9 9 772 .,697- 56 776 1 6 696- ' 5 696 7 3 7969 696 696 62 456 6 696 796 7 7*6 9 87 96676 56 867* 5 86 /8866- /677 &?6 #77-55 856 52 456 96676 6 5696 976 9 3''IG 1%% %:-89,I 776 57 7 6 6 9 786 67 7 967 "#$2 *234 45 65956 456 5 696 7 97 89- 9 69- 7 )$+ >7 55 796 ?6 96,2 + 7 566 696- 7 ,796 <77 79 1696 976 7 8967- * 896 6 7 6576 9762 7 6 7 9,6 96 696 76- 55 696 76 6 * 676 7 6 96,62 7853 6328927 2 7853 6328927 2 4+987- 92753927 7853 6328927 743484 -2285 7853 6328927 96 -2285 7853 6328927 4743-2 7853 6328927 834 927543 -2285 7853 6328927 727834 927543 -2285 7853 6328927 92753927 745 238435 3494148 "32 4 82459 492722 2 745 238435 3494148 "32 328 2 745 238435 3494148 "32 4 82459 492722 96 -2285 1'745 238435 3494148 "32 328 96 -2285 927543 6394 784+ 2 82282 2742 34 34 27 2742 34 34 275 2742 34 34 -2143747 278 248 2 * 2435 32 -2143747 278 248 ' 2 2435 32 248 56348 -2143747 2785 2 * 2435 32 75 344 275 34 248 56348 -2143747 2785 ' 2 2435 32 75 344 275 34 1.J 534 6394 784+ .J 9437 534 784+ =J 9437 278 784+ 4+97-4 34 0 823(4594 #3 78923 2" 4 9437 49272235 6394 9264147455 -75 ' 7853 927345 548 27 927543 63945 "2 57455 527 63289435 2" 96 -2285 "2 57455 527 63289435 2" 834 927543 -2285 "2 57455 527 63289435 2" 727834 927543 -2285 "2 57455 527 34 384 "2 57455 527 52454 384 "2 57455 4+649275 "23 4 74+ 5+ 275 63289435 2" 96 -2285 "2 57455 4+649275 "23 4 74+ 5+ 275 63289435 2" 834 927543 -2285 "2 57455 4+649275 "23 4 74+ 5+ 275 63289435 2" 727834 927543 -2285 "2 57455 4+649275 "23 4 74+ 5+ 275 34 384 "2 57455 4+649275 "23 4 74+ 5+ 275 52454 384
"2 5295 2" H7548 -2285 63289435 2" 96 -2285 "2 5295 2" H7548 -2285 63289435 2" 834 927543 -2285 "2 5295 2" H7548 -2285 63289435 2" 727834 927543 -2285 9"6 927543 927H84794 784+ 19459 45 65956 456 6 696 6 567969 776 796 696 62 456 "#$ 68696- 9 ,76 76 7 6 696 796 89,6 56 !6697 "697 /77 .96 7 677 7?6 56 867* 7 696 56 867* 5 86 /88662 & 7- 3 7969 6 696 796 62 + 969 56 7969 966 77 5 5 966 77 56 795 7 5 7,6- 56 86 6 696 57 6 56 788989762 =696- 7 696 796 76 +132 > 8966 7 "#$2 -3255 82459 63289 6314 9275627 4+647834 -2143747 9275627 4+647834 -3255 H+48 96 "2327 97432 K 4B647 -3255 H+48 96 "2327 92753927 4+6235 6235 93255 14 8848 :328927 54923 4+9% 92753927 93255 14 8848 ;245 345375 78 375623 93255 14 8848 !779 34 454 3477- 78 57455 5431945 93255 14 8848 :9 78 6314 5431945 93255 5-45 78 5345 734634743 78 6326432 7924 3
4493629423 5797 795 696 7*6 9 7 6 696 668 696 9762 /779 7 76 78898976 (696 56 6 6962 /677 >7 56 96676 56 5 86 696 676 )6Y31 9676 867* 7(2 4 676 76 6(6- 56 696 696 7796 57,6 469 67 7 56 ,7976 "#$2 /7797 7*6 876 6,69 96676 56 77 899 56 967 66962
$
2
9
5
6
4
3
9
5
6
4
6
2
9
05
9
534 3
)5
96
2
42
96
& 6 56 7 6- 56 967 56 79 6 796 76 6 792 86- 6 8966 967 96 8 9 792 + 76 - 56 786 967 96 9 "697 "#$ 796 5 69 67796 967 6999 1/2- 5696 56 967 796 8796 5 "#$ <96 9 56 <7 96676 7,776 56 7762 06 9689 96 9 +/- #/ 7 F 967 5 9676 77- 7 56 96 796 56 76 5 <7 772 & 7 6 66 56 76- 56 967 869976 69676- 7 56 69 79 9676 9 6 19 '22 + 56 69 79 9676 5966 7 9- 56 / 9676 57982 + 96 67- 56 / 9676 87979 9 56 7 1967 594 67 62- 9 56 679697567 967 7 9 56 967 57 6 5 77 8 567969 9 55 "#$ 7,776 19 31 7 3:22 45 76 57 7 796 69 79 96 87979 56 786 676- 9 55 6 5 69,7 796 6 697876 5 "#$2 4566 96 76 57 56 795 7 89,6 66 676 5 "#$ 56 69 79 7962 45 ,697 (696 56 6966 76- 5696 56 967 797 6 7(66 7 669 66 5 7 796 69 792 & 56 96 69 56 69 79 796 9 7697,6 86<7 56 6- 6 89,6 96 9 6 79 56 7 62$ *2345
19
2
6
4
23
6
/6 56 6966 79 6 6 56 7 6 57 66 6 5 9686 67 5 "#$ 56 69796 696- 6 799 6 6 )79 7 899 7 6897 78872 &6 6 72 11%%:2 89,6 79 6 )79 7 56 7952 .9 96 (69 5 9686 56 6 67 5 +132 > ,7976 7 "#$- 7 56 6 7 8 56 776 62 456 7 6 6 5696 7 7 ,7 56 44 "23 4+64 4 "234957- 3455 57- H+48 743 2" "9235 7 29 78 527 C**D 45 %476 A .786 967 96- /- (696 69 79 9 67 69 967 776 967 594 65 79 67 3 1 3 79 3 +/ 9676 %23I:G %213I 1 79 3 #/ 9676 %23I': %211:' 79 3 F 9676 %213 %2 %G1 79 3 +/ 9676- 6 77 %213I %21I3 79 1 +/ 9676 %21:%' %21GI : 79 1 #/ 9676 %2 %:' %2 GI G 79 1 F 9676 %2 3' %2:%G I 79 1 +/ 9676- 6 77 %2113 %21I ' 79 +/ 9676 32%1 ' %2 %%1 3% 79 #/ 9676 32:I:% %2 GG 33 79 F 9676 32:31 %2 I 31 79 +/ 9676- 6 77 %21'% %2 %% 3 79 +/ 9676 323'' %21' 3 79 #/ 9676 1231G1 %2' 1 3 79 F 9676 123%' %2''' 3: 79 +/ 9676- 6 77 %21G:G %21I1G 3G &6 R +/ 9676 %21': %2 31% 3I &6 R #/ 9676 %21G1 %2 3:' 3' 576 R R 9676 %2 1%1 %2 :I 12345 @435 7 4 4 525 475B348 "23495 433235 5 345649 2 B3432 9:% /7 4 927 I"234957- 4B273 /# 847245 4314 546 "234957- 78 # 847245 8349 "234957-% $4 .= 284 5 7 234-345514 284 4548 5 B3432 9: 8% $4 72 97-4 "23495 5 4 "23495 59 5 4B 2 4 5 2543127 14 "23 9:%
6 7 646 776 9 56 6897 7887 6 6 7692 /6 57 9679 776 8797,6 7 967 569 776 6 56 79 967 69796 5 6966 77- 6 56 67 7 97 56 795 5 79<7 676 7762 456 8 56 79<7 776 69 98 5 7 7969 ,7976- 77 ,7 56 6 6897 77 769- 5696 7 69 7969 79 796 6 9 6 7 5 "#$2 .,697- 56 7 7996 5696 796 96 6 9676 8, 7 5 11%%:2- 5696 79 67 7 786 6966 77 ,6762 + 56 #"$ 76 56 5 966 *- 6 796 76 76 56 869976 56 7952 06 7996 * 7A 456 <9 7 6 7966 56 67 5 69,7 9 7969 7 5 77 9 (696 ,7976 97 62 456 6 7 68 69 ,76 7 56 6 56 786 6 87 7 97 772 + 5 76- 56 795 89,6 676 79 7 86 57 < 56 5 69,7 97969 77 7 56 69,7 7 56 6 56 7862 *"595'53 564423 456 776697 896 9 56 79 6 6 5 /* 7 07 11%%12 7 8, 7 5 11%%:2- 666 9 6 966 772 !9 8- 76 57 7 6 79 9 9,6 56 ,7976 56 79 62 456 79 56 &6132 896 9 @%49 C33 3 11 2 9 2 @ 33 4 4 4 3 5 - 5696 1%3322 ",6 56 792 456 7 7969 6 696 796 66976 79 56 79 6 1 @ 9 C33 3 112 7 6 @ 33 4 4 4 3 7 2 456 5* 57 7 97 9 5 67 469 7 ,79762 456 7969 6 696 796 7 76 7 56 5 966- 2@33 4 4 4 3 5 2 4 7 77969 696- 6 76 57 7 1 796 +132 > ,7976 69,6 7 56 7 5 6757969- 1 @13 211 C11 C 1 C11 C 1 2 9 2 @ 3:3'3 4 4 42 45 7 76 5 9 "#$ 67 1'22 456 ,7976 56 ,7976 ,6 ,79 11 2 @ 34% 9 56 696 % 8 8 3- 7 13 3 2 968966 56 ,7976 9 56 7 97 86- 9686,62 4567 5 ,79761 796 6876 56 79 7
7 97 86 9 2@33 4 4 4 3 5 79 1 @ 9 C33 3 112 5696 7 7 697 6866 96 5 1%3322 456 87 97669 6796 56 967,6 8976 56 86 9 56 ,7976 56 5 ,79762 456 769 7 796- 56 6 97,6 56 776 5 9686 56 79 7- 569696- 56 896 56 5 676 669 9762 45 7 ,676 7 5696 56 5 97969 776 69 796 ,7976 9 56 97 86 156 7 796 722 96,69- 6 7 76 56 966,76 56 786 46 9 56 67 96 9 (6967 -7 75 2 + 56 6 )79 68696- 56 5 7 7969 69,7 796 6 676 56 79 92- 7 56 9686,6 86 89,6 5 676 7969 ,79762 4 8796 56 6 76 (696 776- 9687 56 #"$ 796 862 + 969 76 56 967 56 79 676 6 8, 7 5 11%%:2 7 86 56 7 @ 3 2819 92192922 9 92 2 2819 9 2 4 11:2 & ,76 6 6 76 7 996866 666 56 676 79 92 @ 19 32 9 3 4 4 4 32 92 2 7 56 96 79 9 @19 3 9 3 4 4 4 3 9 2 76 79 11 22 4 6,776 56 67 797 56 5 69,7 9 56 7969 77 6 86 56 67796 6999 1/2 7 @ 3 3 7 3 5 121 31 2 3 11G2 5696 21 56 676 5 69,7 9 56 ,7976 6 55 7,776 77969 9666 9 56 672 456 5 676 7 6 8796 5 56 96 5 69,7 1 2 456 / 7,6976 ,69 6- 9687 7 7 7969 ,79762 456 6 )79 7 796 7996 9 @ %% 96872 456 786 46 56 5 6965 6 %- :%- '% 7 31%- 56967 56 7969 696 57,6 56 9686,6 786 46 67 5 @13 25 2 456 69 5 696 7 7 7969 6967 796 6 1% 7 %2 456 9 56 79 56 ,697 ,7976 56 7969 ,7976 6 5 6%433%43%4'72 456 5 696 57,6 6569 7 86 ,7976 9 @%4' 1,69 97,62 9 @ %43 17 97,622 + 76 :- 56 96 56 6 )79 68696 796 52 456 96 76 7 9 6866 56
476 :A 6 )79 96 9 6966 67 9 5 7 7 3 % 1% %2'%% 1% %2'%% %2''3 %2%'1 1 % 1% %2'%% 1% %2%% %2''% %2 :: % 1% %2'%% 1% %23%% %2''3 %2:3 % 1% %23%% 1% %2'%% %2:1 32 I % 1% %23%% 1% %2%% %2:3: 321I% : % 1% %23%% 1% %23%% %2: 32%:' G :% 1% %2'%% 1% %2'%% %2'' %2%I3 I :% 1% %2'%% 1% %2%% %2''1 %2 ' ' :% 1% %2'%% 1% %23%% %2''1 %2:3I 3% :% 1% %23%% 1% %2'%% %2G31 %2' 33 :% 1% %23%% 1% %2%% %2G% %2'1 31 :% 1% %23%% 1% %23%% %2::3 %2:' 3 31% 1% %2'%% 1% %2'%% %2'' %2%G 3 31% 1% %2'%% 1% %2%% %2'' %2 3 3 31% 1% %2'%% 1% %23%% %2'' %2:%' 3: 31% 1% %23%% 1% %2'%% %2G %2 G 3G 31% 1% %23%% 1% %2%% %2G G %2%' 3I 31% 1% %23%% 1% %23%% %2:'I %2:' 3' % % %2'%% % %2'%% %2'' %2%'1 1% % % %2'%% % %2%% %2'' %2 : 13 % % %2'%% % %23%% %2'': %2: G 11 % % %23%% % %2'%% %2GG' %2GI 1 % % %23%% % %2%% %2GG: %2:3 1 % % %23%% % %23%% %2G3 %2GG' 1 :% % %2'%% % %2'%% %2'' %2%GI 1: :% % %2'%% % %2%% %2'' %2 : 1G :% % %2'%% % %23%% %2'': %2:3: 1I :% % %23%% % %2'%% %2I1' %21:% 1' :% % %23%% % %2%% %2I1 %2% % :% % %23%% % %23%% %2G'I %2: 3 31% % %2'%% % %2'%% %2''G %2%G 1 31% % %2'%% % %2%% %2'': %2 ' 31% % %2'%% % %23%% %2''G %2:%G 31% % %23%% % %2'%% %2I %211 31% % %23%% % %2%% %2II %21 : 31% % %23%% % %23%% %2I1 %2:1:
67 869976 56 97 6 56 772 456 6 97,6 56 6 696 796 5 9686 56 79- 56 6 8966 796 56 79 7 56 5 69,7 6762 !9 6786- 9 56 76 9 : 15 @ %- 7 @ 7 @ @ @%432- 56 / 56 676 5 69,7 67 34%:'- 55 86 57 56 676 796 7 97,6- 6 56 97 696 57 ,7976 67 6 92 + 56 69 6 696 69,7 796 9676 5 @:%- 56 / 966 %4:' 166 9 31 76 :22 =6,69- 9569 967 5 89,6 56 67 7972 /79 96 796 76 56 56 9 6 6 96762 =6,69- 56 776 97,6 7 56 79 1 @ @ %4'2- 967 56 786 46 5 56 96 7 56 6 696 6 67 9 89,66 2 45- 56 776 97,6 9 67 56 79- 7 7 69 6 696 96 7 9676 6762 45 6 5 7 96 8, 7 5 11%%:2- 5696 7 57 7 776 7967 6 8966 676 56 79 7 7 56 6 696 796 96 97,6 9 67 792 *663 ,56 5 42 !)423 6 7 5 "#$ 9676 96 96 7*6 56 896 6966 776 7 56 896 69,7 7 56 6 56 786 6 (696 87 7 56 97 772 06 569696 7996 77 6 )79 7- 5696 56 69,7 56 7 869 796 97 96,62 !9 56 967 6696- 566 69,7 796 676 56 795 76 56 967 772 4 5 87979 6 6 76 7 6966 #"$ 7- 569696- 7 569 69,7 7 6 9676 7 ,62 &9 56 7 6 7,6-6 7,6-68 7,6-67 11 2 76 56 79 7 67 112 76 56 6 696 1 9 @ 33 4 4 4 3 7 7 2 @ 33 4 4 4 3 5 2 & 56 <7 69,7 7 2 @ 5 - 7 97 ! 56 7 69,7 97 666 675 96872 456 97 ,76 ! @%433%43%4'2 45- 8 '%Z 56 77 7 6 7 56 6 56 7862 456 786 46 ,6 5 @ % 7 7 @ %2 & 7,6- 6 56 7 57 87 56 996866 666 676 7 96 79 7 56 / 9 56 967 56 ,76- 7,6976 ,69 6 696 7 96872 456 96 56 7 7 6 76G2 & 56 7 7996 696- 56 96 796 9,6 56 696 57 86976 7 7 7 6 97 56 792 456 996866 666 79 676 7 56 96 79 5569- 56 96 97,6 56 776 7 56 79- 56967 56 6(6 56 69 ,76 7 56 6 56 786 $434 5 52 4639 4184794 234 8 5 72 525 443 "23 "923 7255 544 /73 4 % C*D 47 =4?43 C*)D "23 4+64% G
476 GA 6 )79 96 9 67 ,76 7 56 6 56 786 9 5 7 ! 3 % % %23%% %2'%% %2''I %23% 1 % % %2%% %2'%% %2''I %23% % % %2'%% %2'%% %2''G %2311 % % %23%% %2%% %2'I% %2% % % %2%% %2%% %2'G' %2 % : % % %2'%% %2%% %2'G: %2:1: G % % %23%% %23%% %2I3: %2' : I % % %2%% %23%% %2I31 %2'I1 ' % % %2'%% %23%% %2GGI 321I% 3% 3%% 3%% %23%% %2'%% %2''' %23%% 33 3%% 3%% %2%% %2'%% %2''' %23%1 31 3%% 3%% %2'%% %2'%% %2''' %2333 3 3%% 3%% %23%% %2%% %2''% %2% 3 3%% 3%% %2%% %2%% %2''% %23% 3 3%% 3%% %2'%% %2%% %2'I' %2G 3: 3%% 3%% %23%% %23%% %2'%' %2' 3G 3%% 3%% %2%% %23%% %2'%G %2' 3I 3%% 3%% %2'%% %23%% %2'%1 32%31 12345 $4 5595 5257 7 4 4 97 4 "278 7 C*D 78 C*FD%
97569 62 /79- 56 / 55 686 56 2 5 989- 56 / 9676- 96 ,76 9 7 56 6 56 7862 . 56 569 57- 56 77 796 67* 99676 5 56 79 1 @%432- 56 / 6 6 99686,6 5 7 69,7 796 7 56 6 56 7862 456 786 46 57 7 7 87 56 46 56 /- <9 56 96 76 56 896, 72 '
The following Discussion Papers have been published since 2005:
Series 1: Economic Studies 1 2005 Financial constraints and capacity adjustment
in the United Kingdom – Evidence from a Ulf von Kalckreuth large panel of survey data Emma Murphy 2 2005 Common stationary and non-stationary
factors in the euro area analyzed in a
large-scale factor model Sandra Eickmeier
3 2005 Financial intermediaries, markets, F. Fecht, K. Huang,
and growth A. Martin
4 2005 The New Keynesian Phillips Curve
in Europe: does it fit or does it fail? Peter Tillmann
5 2005 Taxes and the financial structure Fred Ramb
of German inward FDI A. J. Weichenrieder
6 2005 International diversification at home Fang Cai
and abroad Francis E. Warnock
7 2005 Multinational enterprises, international trade,
and productivity growth: Firm-level evidence Wolfgang Keller from the United States Steven R. Yeaple
8 2005 Location choice and employment S. O. Becker,
decisions: a comparison of German K. Ekholm, R. Jäckle, and Swedish multinationals M.-A. Muendler
9 2005 Business cycles and FDI: Claudia M. Buch evidence from German sectoral data Alexander Lipponer
10 2005 Multinational firms, exclusivity, Ping Lin and the degree of backward linkages Kamal Saggi
41
11 2005 Firm-level evidence on international Robin Brooks stock market comovement Marco Del Negro
12 2005 The determinants of intra-firm trade: in search Peter Egger
for export-import magnification effects Michael Pfaffermayr
13 2005 Foreign direct investment, spillovers and
absorptive capacity: evidence from quantile Sourafel Girma
regressions Holger Görg
14 2005 Learning on the quick and cheap: gains James R. Markusen from trade through imported expertise Thomas F. Rutherford
15 2005 Discriminatory auctions with seller discretion:
evidence from German treasury auctions Jörg Rocholl
16 2005 Consumption, wealth and business cycles: B. Hamburg,
why is Germany different? M. Hoffmann, J. Keller
17 2005 Tax incentives and the location of FDI: Thiess Buettner evidence from a panel of German multinationals Martin Ruf
18 2005 Monetary Disequilibria and the Dieter Nautz Euro/Dollar Exchange Rate Karsten Ruth
19 2005 Berechnung trendbereinigter Indikatoren für
Deutschland mit Hilfe von Filterverfahren Stefan Stamfort
20 2005 How synchronized are central and east
European economies with the euro area? Sandra Eickmeier Evidence from a structural factor model Jörg Breitung
21 2005 Asymptotic distribution of linear unbiased J.-R. Kurz-Kim estimators in the presence of heavy-tailed S.T. Rachev stochastic regressors and residuals G. Samorodnitsky
22 2005 The Role of Contracting Schemes for the Welfare Costs of Nominal Rigidities over
the Business Cycle Matthias Paustian
23 2005 The cross-sectional dynamics of German J. Döpke, M. Funke business cycles: a bird’s eye view S. Holly, S. Weber
24 2005 Forecasting German GDP using alternative Christian Schumacher factor models based on large datasets
25 2005 Time-dependent or state-dependent price setting? – micro-evidence from German
metal-working industries – Harald Stahl
26 2005 Money demand and macroeconomic Claus Greiber
uncertainty Wolfgang Lemke
27 2005 In search of distress risk J. Y. Campbell, J. Hilscher, J. Szilagyi
28 2005 Recursive robust estimation and control Lars Peter Hansen without commitment Thomas J. Sargent
29 2005 Asset pricing implications of Pareto optimality N. R. Kocherlakota with private information Luigi Pistaferri
30 2005 Ultra high frequency volatility estimation Y. Aït-Sahalia,
with dependent microstructure noise P. A. Mykland, L. Zhang
31 2005 Umstellung der deutschen VGR auf Vorjahres- preisbasis – Konzept und Konsequenzen für die aktuelle Wirtschaftsanalyse sowie die ökono-
43
32 2005 Determinants of current account developments in the central and east European EU member
states – consequences for the enlargement of Sabine Herrmann
the euro erea Axel Jochem
33 2005 An estimated DSGE model for the German
economy within the euro area Ernest Pytlarczyk
34 2005 Rational inattention: a research agenda Christopher A. Sims
35 2005 Monetary policy with model uncertainty: Lars E.O. Svensson distribution forecast targeting Noah Williams
36 2005 Comparing the value revelance of R&D report- Fred Ramb ing in Germany: standard and selection effects Markus Reitzig
37 2005 European inflation expectations dynamics J. Döpke, J. Dovern U. Fritsche, J. Slacalek
38 2005 Dynamic factor models Sandra Eickmeier
Jörg Breitung
39 2005 Short-run and long-run comovement of GDP and some expenditure aggregates
in Germany, France and Italy Thomas A. Knetsch
40 2005 A“wreckers theory” of financial distress Ulf von Kalckreuth
41 2005 Trade balances of the central and east
European EU member states and the role Sabine Herrmann of foreign direct investment Axel Jochem
42 2005 Unit roots and cointegration in panels Jörg Breitung
M. Hashem Pesaran
43 2005 Price setting in German manufacturing:
1 2006 The dynamic relationship between the Euro
overnight rate, the ECB’s policy rate and the Dieter Nautz
term spread Christian J. Offermanns
2 2006 Sticky prices in the euro area: a summary of Álvarez, Dhyne, Hoeberichts new micro evidence Kwapil, Le Bihan, Lünnemann
Martins, Sabbatini, Stahl
Vermeulen, Vilmunen
3 2006 Going multinational: What are the effects
on home market performance? Robert Jäckle
4 2006 Exports versus FDI in German manufacturing:
firm performance and participation in inter- Jens Matthias Arnold national markets Katrin Hussinger
5 2006 A disaggregated framework for the analysis of Kremer, Braz, Brosens structural developments in public finances Langenus, Momigliano
Spolander
6 2006 Bond pricing when the short term interest rate Wolfgang Lemke follows a threshold process Theofanis Archontakis
7 2006 Has the impact of key determinants of German exports changed?
Results from estimations of Germany’s intra
euro-area and extra euro-area exports Kerstin Stahn
8 2006 The coordination channel of foreign exchange Stefan Reitz intervention: a nonlinear microstructural analysis Mark P. Taylor
9 2006 Capital, labour and productivity: What role do Antonio Bassanetti
they play in the potential GDP weakness of Jörg Döpke, Roberto Torrini France, Germany and Italy? Roberta Zizza
10 2006 Real-time macroeconomic data and ex ante J. Döpke, D. Hartmann predictability of stock returns C. Pierdzioch
45
11 2006 The role of real wage rigidity and labor market
frictions for unemployment and inflation Kai Christoffel
dynamics Tobias Linzert
12 2006 Forecasting the price of crude oil via
convenience yield predictions Thomas A. Knetsch
13 2006 Foreign direct investment in the enlarged EU:
do taxes matter and to what extent? Guntram B. Wolff
14 2006 Inflation and relative price variability in the euro Dieter Nautz area: evidence from a panel threshold model Juliane Scharff
15 2006 Internalization and internationalization
under competing real options Jan Hendrik Fisch
16 2006 Consumer price adjustment under the
microscope: Germany in a period of low Johannes Hoffmann
inflation Jeong-Ryeol Kurz-Kim
17 2006 Identifying the role of labor markets Kai Christoffel for monetary policy in an estimated Keith Küster
DSGE model Tobias Linzert
18 2006 Do monetary indicators (still) predict
euro area inflation? Boris Hofmann
19 2006 Fool the markets? Creative accounting, Kerstin Bernoth fiscal transparency and sovereign risk premia Guntram B. Wolff
20 2006 How would formula apportionment in the EU
affect the distribution and the size of the Clemens Fuest corporate tax base? An analysis based on Thomas Hemmelgarn German multinationals Fred Ramb
21 2006 Monetary and fiscal policy interactions in a New
Keynesian model with capital accumulation Campbell Leith and non-Ricardian consumers Leopold von Thadden
22 2006 Real-time forecasting and political stock market Martin Bohl, Jörg Döpke anomalies: evidence for the U.S. Christian Pierdzioch
23 2006 A reappraisal of the evidence on PPP:
a systematic investigation into MA roots Christoph Fischer in panel unit root tests and their implications Daniel Porath
24 2006 Margins of multinational labor substitution Sascha O. Becker
Marc-Andreas Mündler
25 2006 Forecasting with panel data Badi H. Baltagi
26 2006 Do actions speak louder than words? Atsushi Inoue Household expectations of inflation based Lutz Kilian
on micro consumption data Fatma Burcu Kiraz
27 2006 Learning, structural instability and present H. Pesaran, D. Pettenuzzo value calculations A. Timmermann
28 2006 Empirical Bayesian density forecasting in Kurt F. Lewis
Iowa and shrinkage for the Monte Carlo era Charles H. Whiteman
29 2006 The within-distribution business cycle dynamics Jörg Döpke of German firms Sebastian Weber
30 2006 Dependence on external finance: an inherent George M. von Furstenberg industry characteristic? Ulf von Kalckreuth
31 2006 Comovements and heterogeneity in the euro area analyzed in a non-stationary
47
32 2006 Forecasting using a large number of predictors: Christine De Mol is Bayesian regression a valid alternative to Domenico Giannone principal components? Lucrezia Reichlin
33 2006 Real-time forecasting of GDP based on
a large factor model with monthly and Christian Schumacher
Series 2: Banking and Financial Studies
1 2005 Measurement matters – Input price proxies
and bank efficiency in Germany Michael Koetter
2 2005 The supervisor’s portfolio: the market price
risk of German banks from 2001 to 2003 – Christoph Memmel Analysis and models for risk aggregation Carsten Wehn
3 2005 Do banks diversify loan portfolios? Andreas Kamp A tentative answer based on individual Andreas Pfingsten bank loan portfolios Daniel Porath
4 2005 Banks, markets, and efficiency F. Fecht, A. Martin
5 2005 The forecast ability of risk-neutral densities Ben Craig of foreign exchange Joachim Keller
6 2005 Cyclical implications of minimum capital
requirements Frank Heid
7 2005 Banks’ regulatory capital buffer and the
business cycle: evidence for German Stéphanie Stolz savings and cooperative banks Michael Wedow
8 2005 German bank lending to industrial and non- industrial countries: driven by fundamentals
or different treatment? Thorsten Nestmann
9 2005 Accounting for distress in bank mergers M. Koetter, J. Bos, F. Heid C. Kool, J. Kolari, D. Porath
10 2005 The eurosystem money market auctions: Nikolaus Bartzsch a banking perspective Ben Craig, Falko Fecht
11 2005 Financial integration and systemic Falko Fecht
49
12 2005 Evaluating the German bank merger wave Michael Koetter
13 2005 Incorporating prediction and estimation risk A. Hamerle, M. Knapp, in point-in-time credit portfolio models T. Liebig, N. Wildenauer
14 2005 Time series properties of a rating system U. Krüger, M. Stötzel, based on financial ratios S. Trück
15 2005 Inefficient or just different? Effects of J. Bos, F. Heid, M. Koetter, heterogeneity on bank efficiency scores J. Kolatri, C. Kool
01 2006 Forecasting stock market volatility with J. Döpke, D. Hartmann macroeconomic variables in real time C. Pierdzioch
02 2006 Finance and growth in a bank-based economy: Michael Koetter is it quantity or quality that matters? Michael Wedow
03 2006 Measuring business sector concentration
by an infection model Klaus Düllmann
04 2006 Heterogeneity in lending and sectoral Claudia M. Buch growth: evidence from German Andrea Schertler
bank-level data Natalja von Westernhagen
05 2006 Does diversification improve the performance Evelyn Hayden of German banks? Evidence from individual Daniel Porath
bank loan portfolios Natalja von Westernhagen
06 2006 Banks’ regulatory buffers, liquidity networks Christian Merkl and monetary policy transmission Stéphanie Stolz
07 2006 Empirical risk analysis of pension insurance – W. Gerke, F. Mager the case of Germany T. Reinschmidt
51
Visiting researcher at the Deutsche Bundesbank
The Deutsche Bundesbank in Frankfurt is looking for a visiting researcher. Among others under certain conditions visiting researchers have access to a wide range of data in the Bundesbank. They include micro data on firms and banks not available in the public. Visitors should prepare a research project during their stay at the Bundesbank. Candidates must hold a Ph D and be engaged in the field of either macroeconomics and monetary economics, financial markets or international economics. Proposed research projects should be from these fields. The visiting term will be from 3 to 6 months. Salary is commensurate with experience.
Applicants are requested to send a CV, copies of recent papers, letters of reference and a proposal for a research project to:
Deutsche Bundesbank Personalabteilung
Wilhelm-Epstein-Str. 14
D - 60431 Frankfurt GERMANY