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Annabelle Mourougane

1 March 2002
We investigate the usefulness of the European Commission confidence indicators in forecasting real GDP growth rates in the short-run in selected euro area countries (Belgium, Spain, Germany, France, Italy and the Netherlands) which account for almost 90% of the euro area. We estimate a linear relationship between real GDP and confidence indicators and we compare the forecasting performance of the estimated models with a benchmark ARIMA model. We generally find that confidence indicators can be useful in forecasting real GDP growth rates in the short run in a number of countries (Belgium, Germany, France, Italy and the Netherlands). Notwithstanding some signs of instability in the relationship between confidence indicators and real GDP, improvements with the use of time-varying parameter models appear to be fairly limited but confirm the findings obtained with constant parameter techniques. The results are robust to a wide range of variant tests implemented.
JEL Code
C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
E27 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Forecasting and Simulation: Models and Applications
1 October 2001
This paper examines the impact of temporal variation in labour market institutions and other structural factors on unemployment in Europe. These include the influence of trade unions, social security benefits, employment security, mismatch between job seekers and vacancies, the minimum wage and factors which drive a wedge between consumer and producer prices. With this aim, a system including a labour demand and a wage equation is estimated in pooled time-series data for the six largest EU countries for the 1980s and 1990s, allowing for country-specific fixed-effects, institutional effects and adjustment terms. Our estimates suggest that changes in regional mismatch, trade union density and the ratio between consumer and producer prices are positively associated with structural unemployment. This result is robust to a wide variety of different specifications of the model, including a larger sample of eight EU countries. No consistent role is found for the other institutional factors.
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
J30 : Labor and Demographic Economics→Wages, Compensation, and Labor Costs→General
C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models