, Volume 3, Issue 4, pp 475–497 | Cite as

MICA-BBVA: a factor model of economic and financial indicators for short-term GDP forecasting

  • Máximo CamachoEmail author
  • Rafael Doménech
Open Access
Original Article


In this paper we extend the Stock and Watson’s (Leading economic indicators, new approaches and forecasting records, 1991) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different frequencies and delays with respect to the period to which they refer. We find that the common factor reflects the behavior of the Spanish business cycle well. We also show that financial indicators are useful for forecasting output growth, particularly when certain financial variables lead the common factor. Finally, we provide a simulated real-time exercise and prove that the model is a very useful tool for the short-term analysis of the Spanish Economy.


Business cycles Output growth Short-term forecasting 

JEL Classification

E32 C22 E27 


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Copyright information

© The Author(s) 2011

This article is published under license to BioMed Central Ltd. Open Access This article is distributed under the terms of the Creative Commons Attribution License which permits any use, distribution and reproduction in any medium, provided the original author(s) and source are credited.

Authors and Affiliations

  1. 1.Facultad de Economía y Empresa, Departamento de Métodos Cuantitativos para la EconomíaUniversidad de MurciaMurciaSpain
  2. 2.BBVA ResearchMadridSpain
  3. 3.University of ValenciaValenciaSpain

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