Material category : Not Periodic Publications / Working Papers
The quarterly GDP forecasting models developed in this material aim
to estimate the Albanian GDP trends in the short term. . Delays until
the publication of the official quarterly GDP data make indispensable
the preliminary estimation of this indicator. The modelling strategy of
the quarterly GDP consists in building a set of different models for its
estimation. They consist on ARIMA models with seasonal components
and indicator models, similar to bridge models. This paper presents a
first attempt to model the GDP using a multiequations system which
accounts for the sectoral interactions. This model can not be used
for forecasting purposes because of short time series. The estimates
were made for total and for disaggregated sectoral GDP for the
period: Q1:2003 – Q1:2009. The models exploit information from
economic variables, financial variables and confidence surveys
indicators, held by the Bank of Albania. The bridge models estimates
show that the past developments of economic and financial variables
explain the GDP changes while the survey variables lead them. The
above mentioned behaviour of the explanatory variables supports the
forecasting process of the quarterly GDP. Thus the policy makers in
the Bank of Albania are provided with a timely estimation (nowcast)
of the economic activity tendency for the reference quarter and for
the coming two quarters. In general, estimations from the developed
models are promising. It is suggested that the “best” forecast will be
considered the average of the forecasts from all the proposed models.
The off-sample forecast performance, “will decide” the model with
the best qualities in order to predict the quarterly GDP.