Forecasting GDP during and after the Great Recession

OECD ECOSCOPE

by Patrice Ollivaud, Economist, OECD Economics Department,  Pierre-Alain Pionnier, Head of Unit, OECD Statistics Directorate and Cyrille Schwellnus, Senior Economist, OECD Economics Department

How was it possible not to see the Great Recession of 2008-09 coming? How could economic forecasters blindly ignore financial developments? These are typical questions asked by the media in the wake of the Great Recession.

The OECD has drawn a number of lessons from the failure to forecast the Great Recession for the monitoring and statistical modelling of near-term economic developments. Crucially, a broader range of information, including financial developments, is now accounted for in OECD forecasts (Lewis and Pain, 2014). In an attempt to systematise this approach, OECD economists have recently estimated state-of-the-art statistical models that allow extracting meaningful signals from a large set of economic indicators, including equity and credit market indicators, real estate and consumer prices, disaggregate industrial production, as well…

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