Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278579 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2815
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Euro area labour market variables are published with a considerable lag, longer than in the case of real GDP. We develop a suite of models to provide a more timely estimate (nowcast) of euro area quarterly employment growth based on a broad range of monthly indicators. The suite includes a batch of different dynamic factor model and bridge equation specifications. We evaluate it in real time over 2013-2022 and find that (i) monthly indicators provide useful information for a timely assessment of employment developments with unemployment rates and sentiment indicators containing most of the relevant information, (ii) the performance of small-scale models is comparable to those based on a larger information set, (iii) the suite performs favourably compared to the Eurosystem/ECB staff macroeconomic projections, (iv) forecasting performance deteriorates temporarily at the initial stage of the COVID-19 pandemic period, but the models outperform the benchmarks again thereafter.
Subjects: 
Forecasting
Real-Time Data
Mixed Frequency
JEL: 
C53
E24
E32
E37
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6078-6
Document Type: 
Working Paper

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