This paper compares the short-term forecasting performance of state-of-the-art large-scale dynamic factor models (DFMs) and the small-scale bridge models routinely used at the OECD. Pseudo-real time out-of-sample forecasts for France, Germany, Italy, Japan, United Kingdom and the United States...

The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...

This paper builds an innovative composite world trade cycle index (WTI) by means of a dynamic factor model to monitor and perform short-term forecasts in real time of world trade growth of both goods and (usually neglected) services. The selection of trade indicator series is made using a...

This paper builds an innovative composite world trade cycle index (WTI) by means of a dynamic factor model to perform short-term forecasts of world trade growth of both goods and (usually neglected) services. The selection of trade indicator series is made using a multidimensional approach,...

This paper extends the OECD Economics Department’s suite of short-term indicator models for quarterly GDP growth, which currently cover only the G7 countries, to the BRIICS countries. Reflecting the relative scarcity of high-quality macroeconomic time series, the paper adopts a small-scale...

This paper provides a detailed description of recent research to re-estimate and re-specify the international trade volume and price equations that are used in the OECD Economics Department to analyse and project international trade developments. The set of countries covered by the estimations...