Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154419
Authors: 
D'Agostino, Antonello
Modugno, Michele
Osbat, Chiara
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1986
Abstract: 
We propose a model for analyzing euro area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and macroeconomic variables, with the latter being released in a more timely manner. Second, the model tracks well the dynamics of trade variables conditional on the path of macroeconomic variables during the great recession; this result makes our model a reliable tool for scenario analysis.
Subjects: 
conditional forecast
euro area
factor models
news
now-cast
trade
JEL: 
F17
F47
C38
Document Type: 
Working Paper

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