Financial and real latent factors in forecasting economic time series

In this paper we want to assess the impact of real and financial variables in estimating smoothed GDP. We implement the generalized dynamic factor model, on which Eurocoin indicator is based. We assess that the impact of real and financial variables in estimating smoothed GDP, during the structural break in 2008, shows that the role of real data as industrial production, becomes particularly relevant in relation to that concerning financial data as money supply and spread. © 2012 Università del Salento.