Nowcasting. Domenico Giannone Université Libre de Bruxelles and CEPR
|
|
- Avice Dennis
- 5 years ago
- Views:
Transcription
1 Nowcasting Domenico Giannone Université Libre de Bruxelles and CEPR 3rd VALE-EPGE Global Economic Conference Business Cycles Rio de Janeiro, May 2013
2 Nowcasting Contraction of the terms Now and Forecasting Meteorology Nowcasting forecasting up to 6-12 hours ahead (long tradition, since 1860)
3 Nowcasting Contraction of the terms Now and Forecasting Meteorology Nowcasting forecasting up to 6-12 hours ahead (long tradition, since 1860) Only recently introduced in economics: Evans, 2005 IJCB; Giannone, Reichlin and Small, JME 2008
4 Nowcasting Contraction of the terms Now and Forecasting Meteorology Nowcasting forecasting up to 6-12 hours ahead (long tradition, since 1860) Only recently introduced in economics: Evans, 2005 IJCB; Giannone, Reichlin and Small, JME 2008 Why? Key variables released at low frequency and with long publication delays. Example, US GDP: Advanced estimate 4 weeks after end of the reference quarter Example, EA GDP: Flash estimate 6 weeks after end of the reference quarter
5 Nowcasting Contraction of the terms Now and Forecasting Meteorology Nowcasting forecasting up to 6-12 hours ahead (long tradition, since 1860) Only recently introduced in economics: Evans, 2005 IJCB; Giannone, Reichlin and Small, JME 2008 Why? Key variables released at low frequency and with long publication delays. Example, US GDP: Advanced estimate 4 weeks after end of the reference quarter Example, EA GDP: Flash estimate 6 weeks after end of the reference quarter Economic Nowcasting: Forecasting the near future, the present and even recent past.
6 This Presetation 1 Nowcasting and the Real-Time Data-Flow with M. Bańbura, M. Modugno and L. Reichlin Prepared for the Handbook of Economic Forecasting, Volume 2, Elsevier-North Holland 2 Nowcasting China with S. Miranda Agrippino and M. Modugno In progress 3 Nowcasting Brazil M. Modugno In progress
7 Macroeconomic Forecasting and Conjuctural Analysis predicting the future: formal economic modeling of the relations among key macroeconomic aggregates predicting the present: simplified heuristic scrutiny of a variety of conjunctural data forecasts are updated infrequently disregarding the high-frequency flow of conjectural information quarterly updates (SPF and Central Banks), bi-annual updates (OECD, IMF)
8 Macroeconomic Forecasting and Conjuctural Analysis predicting the future: formal economic modeling of the relations among key macroeconomic aggregates predicting the present: simplified heuristic scrutiny of a variety of conjunctural data forecasts are updated infrequently disregarding the high-frequency flow of conjectural information quarterly updates (SPF and Central Banks), bi-annual updates (OECD, IMF) Research questions How important is nowcasting relative to longer horizon forecasting?
9 Macroeconomic Forecasting and Conjuctural Analysis predicting the future: formal economic modeling of the relations among key macroeconomic aggregates predicting the present: simplified heuristic scrutiny of a variety of conjunctural data forecasts are updated infrequently disregarding the high-frequency flow of conjectural information quarterly updates (SPF and Central Banks), bi-annual updates (OECD, IMF) Research questions How important is nowcasting relative to longer horizon forecasting? Can we predict the present? How relevant is informal judgement?
10 Macroeconomic Forecasting and Conjuctural Analysis predicting the future: formal economic modeling of the relations among key macroeconomic aggregates predicting the present: simplified heuristic scrutiny of a variety of conjunctural data forecasts are updated infrequently disregarding the high-frequency flow of conjectural information quarterly updates (SPF and Central Banks), bi-annual updates (OECD, IMF) Research questions How important is nowcasting relative to longer horizon forecasting? Can we predict the present? How relevant is informal judgement? How relevant is the conjectural information? How often should we update the predictions?
11 How important is nowcasting relative to longer horizon forecasting? Very!!!! Forecasting GDP in real time MSFE relative to constant growth Horizon GB SPF Evaluation sample 1992Q1 through 2001Q4
12 How important is nowcasting relative to longer horizon forecasting? Very!!!! Forecasting GDP in real time MSFE relative to constant growth Horizon GB SPF Evaluation sample 1992Q1 through 2001Q4 The present is the only horizon of predictability. Unpredictability beyond current quarter Accuracy of macroeconomic projections heavily rely on starting conditions
13 How important is nowcasting relative to longer horizon forecasting? Very!!!! Forecasting GDP in real time MSFE relative to constant growth Horizon GB SPF Evaluation sample 1992Q1 through 2001Q4 The present is the only horizon of predictability. Unpredictability beyond current quarter Accuracy of macroeconomic projections heavily rely on starting conditions How can we predict the present? Can a machine replicate expert judgement?
14 How important is expert Judgement?
15 The Experts!
16 The Computer Nerde
17 Now-Casting US GDP: 10 years of Experience
18 Now-Casting US GDP: 10 years of Experience
19
20 Learning from the Markets Market participants can be viewed as now-casters they obsessively monitor all macroeconomic data to get a view on current and future fundamentals and their effects on policy
21 Learning from the Markets Market participants can be viewed as now-casters they obsessively monitor all macroeconomic data to get a view on current and future fundamentals and their effects on policy The relevant information on the state of the economy is conveyed to markets through the release of macroeconomic reports. Market expectation for the headlines of these reports are collected up to the day before the actual release of the indicator and distributed by data providers (i.e. Bloomberg).
22 Learning from the Markets Market participants can be viewed as now-casters they obsessively monitor all macroeconomic data to get a view on current and future fundamentals and their effects on policy The relevant information on the state of the economy is conveyed to markets through the release of macroeconomic reports. Market expectation for the headlines of these reports are collected up to the day before the actual release of the indicator and distributed by data providers (i.e. Bloomberg). When realizations are different than these expectations, that is when the news are sizeable, the view of the market changes and this leads to changes in asset prices see (Boyd, Hu, and Jagannathan, 2005; Flannery and Protopapadakis, 2002)).
23 Learning from the markets: Bloomberg.com
24 Learning from the Markets Market participants can be viewed as now-casters they obsessively monitor all macroeconomic data to get a view on current and future fundamentals and their effects on policy The relevant information on the state of the economy is conveyed to markets through the release of macroeconomic reports. Market form expectations for the headlines of these reports up to the day before the actual release of the indicator and distributed by data providers (i.e. Bloomberg).
25 Learning from the Markets Market participants can be viewed as now-casters they obsessively monitor all macroeconomic data to get a view on current and future fundamentals and their effects on policy The relevant information on the state of the economy is conveyed to markets through the release of macroeconomic reports. Market form expectations for the headlines of these reports up to the day before the actual release of the indicator and distributed by data providers (i.e. Bloomberg). When realizations are different than these expectations, that is when the news are sizeable, the view of the market changes and this leads to changes in asset prices see (Boyd, Hu, and Jagannathan, 2005; Flannery and Protopapadakis, 2002)).
26 The Real-Time Data-Flow: Last Week...
27 Learning from the Markets Market participants can be viewed as now-casters they obsessively monitor all macroeconomic data to get a view on current and future fundamentals and their effects on policy The relevant information on the state of the economy is conveyed to markets through the release of macroeconomic reports. Market expectation for the headlines of these reports are collected up to the day before the actual release of the indicator and distributed by data providers (i.e. Bloomberg). When realizations are different than these expectations, that is when the news are sizeable, the view of the market changes and this leads to changes in asset prices see (Boyd, Hu, and Jagannathan, 2005; Flannery and Protopapadakis, 2002)).
28 The Real-Time Data-Flow: News
29 The Real-Time Data-Flow: News
30 Employment report on March 10, 2012 From the Bloomberg News: "Employers in the U.S. took on more workers than forecast in February, [...]" "[...] Stocks rose, capping the fourth straight weekly rally for the Standard & Poor s 500 Index [...]" "[...] Yields on benchmark 10-year note climbed to the highest in a week yesterday after the job report reduced speculation Federal Reserve policy makers may hint at next week s meeting that they re moving closer to more monetary stimulus[...]"
31 Employment report on August 3, 2012 From Bloomberg News: "The U.S. economy generated more jobs than forecast in July [...]" "[...] The S&P 500 advanced 1.9 percent to 1, in New York after dropping 1.5 percent in the previous four days [...]" "[...] The yield on the 10-year Treasury note climbed to 1.57 percent from 1.48 percent late yesterday[...]"
32 Employment report on September 7, 2012 Weak jobs report fuels QE3 hopes "[...] U.S. stocks wavered Friday, as investors digested a disappointing August jobs report but hoped the weakness would prompt the Federal Reserve to jumpstart the slowing economy with stimulus when it meets next week. [...]" "[...] The Labor Department reported that 96,000 jobs were added in August, well below the 120,000 jobs that the economists surveyed by CNNMoney were looking for.[...]" "[...] The Dow Jones industrial average and the Nasdaq edged up 0.1%, while the S&P 500 gained 0.3%. [...]"
33 Employment report on December 7, 2012 Forbes "Private payroll jobs increased by 146,000 in November above the 93,000 economists expected and the 12-month average of 157,000 per month.[... ] What does this report mean for traders and investors?" "[...] an improving economy will put the pressure on the Fed to launch another round of QE3. This is certainly bad news for precious metals. [...]" "[...]a stronger economy is bad news for Treasuries, especially at a time when they trade at record low yields. So, I will stay away from U.S. Treasuries [...]" "[...] investors may want to buy into economically sensitive sectors - like homebuilding - as higher employment increases the likelihood of people buying homes. [...]"
34 Mimicking Market behavior and Beyond (a) Construct a joint model for all macroeconomic data releases (b) Update the model in real time, in accordance with the real-time data flow Model based forecasts: free of judgement, mood, heading. Translate the news in a common unit What s the impact of the news on GDP?
35 A model of Now-Casting y Q t : GDP at time t. Ω v : vintage of data (quarterly, monthly, possibly daily) available at time v (date of a particular data release)
36 A model of Now-Casting y Q t : GDP at time t. Ω v : vintage of data (quarterly, monthly, possibly daily) available at time v (date of a particular data release) Nowcasting of yt Q : orthogonal projection of yt Q information: ] E [y t Q Ω v, on the available
37 A model of Now-Casting y Q t : GDP at time t. Ω v : vintage of data (quarterly, monthly, possibly daily) available at time v (date of a particular data release) Nowcasting of yt Q : orthogonal projection of yt Q information: ] E [y t Q Ω v, on the available The information set Ω v has particular characteristics: 1 it has a ragged or jagged edge [publication lags differing across series] 2 it contains mixed frequency series, in our case monthly and quarterly 3 it could be large
38 Further features Projections need to be updated regularly ] ] E [y t Q Ω v, E [y t Q Ω v+1,... v, v + 1,..., consecutive data releases Typically the intervals between two consecutive data releases are short (possible couple of days or less) and change over time. Consequently, v has high frequency and it is irregularly spaced.
39 News and nowcast revisions New release the information set expands (new releases): Ω v Ω v+1 [we are abstracting from data revisions]
40 News and nowcast revisions New release the information set expands (new releases): Ω v Ω v+1 [we are abstracting from data revisions] Decompose new forecast in two orthogonal components: ] ] ] E [y t Q Ω v+1 = E [yt Q Ω v + E [yt Q I v+1, }{{}}{{}}{{} new forecast old forecast revision I v+1 information in Ω v+1 orthogonal to Ω v
41 News and nowcast revisions New release the information set expands (new releases): Ω v Ω v+1 [we are abstracting from data revisions] Decompose new forecast in two orthogonal components: ] ] ] E [y t Q Ω v+1 = E [yt Q Ω v + E [yt Q I v+1, }{{}}{{}}{{} new forecast old forecast revision I v+1 information in Ω v+1 orthogonal to Ω v If we have a model that can account for joint dynamics of all variables, we can express the forecast revision as a weighted sum of news from the released variables: [ ] [ ] E yt Q Ω v+1 E yt Q Ω v }{{} forecast revision = j J v+1 b j,t,v+1 For detailed derivation see Banubra and Modugno, ( E [ xj,tj,v+1 x Ω j,tj,v+1 v]). }{{} news
42 What kind of framework? Three desiderata: 1 can capture joint dynamics of inputs and target 2 can be estimated on many series while retaining parsimony 3 can handle jagged edged data and mix frequency Idea: use parsimonious model that can be cast in state space form and use Kalman filter to project and to handle jagged edged data Evans 2005 IJCB; Giannone, Reichlin and Small, 2008 JME
43 Why Large? The Real-Time Data-Flow: This Week
44 Why Large? The Real-Time Data-Flow: Next Week
45 Computing projections. What kind of model? The dynamic factor model x t = µ + Λf t + ε t, f t : (unobserved) common factors; ε t : idiosyncratic components Λ factor loadings Factors are modelled as a VAR process: f t = A 1 f t A p f t p + u t Parsimonious and robust model for Big Data - Forni et al. (2000), Stock and Watson (2002, Bernanke and Boivin (2002), Bai (2003), Giannone et al (2005) Alternative: Mixed Frequency Vector Autoregression + Use Shrinkage (BVAR) to make it work with Big Data. Schorfheide and Song (2011), McCracken, Owyang, Sekhposyan (2013), Ghysels (2012), Felsenstein, Funovits, Deistler, Anderson, Zamani, Chen (2013)
46 Problems and solutions Missing data Kalman filter and smoother can be used to obtain, in an efficient and automatic manner, the projection for any pattern of data availability in Ω v as well as the news I v+1 and expectations needed to compute b j,t,v+1 Mixed frequency Consider lower frequency variables as being periodically missing Estimation: Quasi Maximum likelihood: - robust and feasible Doz, Giannone and Reichlin., 2008 REStat - handling missing data Banbura and Modugno, 2010
47 State space representation with mixed frequencies Example: Let Yt Q denote the vector of (log of) the quarterly flow series. We assume that Y Q t is the sum of daily contributions X t Y Q t = t s=t k+1 X s, t = k, 2k,.... Hence we will have that the stationary series yt Q written as: y Q t = k t s=t k+1 t + 1 s k x s + t k s=t 2 (k 1) = Y Q t s t + 2 k 1 k x s Yt k Q can be where x s = X s X s 1 can be thought of as an unobserved daily growth rate (or difference). See also Modugno 2011: Nowcasting Inflation, t = k, 2k,.
48 The real-time data flow No Name Frequency Publication delay (in days after reference period) 1 Real Gross Domestic Product quarterly 28 2 Industrial Production Index monthly 14 3 Purchasing Manager Index, Manufacturing monthly 3 4 Real Disposable Personal Income monthly 29 5 Unemployment Rate monthly 7 6 Employment, Non-farm Payrolls monthly 7 7 Personal Consumption Expenditure monthly 29 8 Housing Starts monthly 19 9 New Residential Sales monthly Manufacturers New Orders, Durable Goods monthly Producer Price Index, Finished Goods monthly Consumer Price Index, All Urban Consumers monthly Imports monthly Exports monthly Philadelphia Fed Survey, General Business Conditions monthly Retail and Food Services Sales monthly Conference Board Consumer Confidence monthly Bloomberg Consumer Comfort Index weekly 4 19 Initial Jobless Claims weekly 4 20 S&P 500 Index daily 1 21 Crude Oil, West Texas Intermediate (WTI) daily Year Treasury Constant Maturity Rate daily Month Treasury Bill, Secondary Market Rate daily 1 24 Trade Weighted Exchange Index, Major Currencies daily 1
49 Daily factor, GDP and its common component 3 Daily Factor GDP growth /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /01/
50 Filter uncertainty, GDP /10/ /10/ /10/ /10/ /10/ /11/ /11/ /11/ /11/ /12/ /12/ /12/ /12/ /12/ /01/ /01/ /01/ /01/2009 D W M Q Filter Uncertainty (rhs)
51 Forecasting the Great Recession /10/ /10/ /10/ /10/ /10/ /11/ /11/ /11/ /11/ /12/ /12/ /12/ /12/ /12/ /01/ /01/ /01/ /01/2009 D W M Q Fcst (rhs) Outturn (rhs)
52 Does information help improving forecasting accuracy? Root Mean Squared Forecast Error (RMSFE) Q0 M1 D7 Q0 M1 D14 Q0 M1 D21 Q0 M1 D28 Q0 M2 D7 Q0 M2 D14 Q0 M2 D21 Q0 M2 D28 Q0 M3 D7 Q0 M3 D14 Q0 M3 D21 Q0 M3 D28 Q+1 M1 D7 Q+1 M1 D14 Q+1 M1 D21 Q+1 M1 D28 Benchmark Monthly BCDC Bridge STD SPF
53 S&P 500 and its common component at different levels of time aggregation 15 Daily growth rates 15 Month on month growth rates Quarter on quarter growth rates 30 Year on year growth rates
54 Now-Casting and the Real-Time Data-Flow Research questions How important is nowcasting relative to longer horizon forecasting? Can we predict the present? How relevant is informal judgement? How relevant is the conjectural information? How often should we update the predictions? What have we learned Nowcasting is key! Little predictability beyond current quarter! We can predict the present without the need of informal judgement?. It is worth to obsessively monitor conjectural information! Accuracy improves significantly and continuously.
55 Now-Casting China In progress, with S. Miranda-Agrippino and M. Modugno
56 Now-Casting China The Data
57 Now-Casting China: The Common Factor
58 Now-Casting China in Real-Time
59 Now-Casting China in Real-Time
60 Now-Casting China in Real-Time
61 Now-Casting China in Real-Time
62 Now-Casting China in Real-Time
63 Now-Casting China in Real-Time
64 Now-Casting China in Real-Time
65 Now-Casting China in Real-Time
66 Now-Casting China in Real-Time
67 Now-Casting China in Real-Time
68 Now-Casting China in Real-Time
69 Now-Casting China in Real-Time
70 Now-Casting China in Real-Time
71 Now-Casting China in Real-Time
72 Now-Casting China in Real-Time
73 Now-Casting China in Real-Time
74 Now-Casting China: What are the Most Informative Data Releases
75 Now-Casting China In progress, M. Modugno
76 Now-Casting in Brazil An Award-Winning Central Bank
77 Now-Casting Brazil: The Data
78 Now-Casting Brazil: The Data
79 Now-Casting Brazil: The Data
80 Now-Casting China: What are the Most Informative Data Releases
81 Now-Casting Brazil: The Data
NOWCASTING REPORT. Updated: August 17, 2018
NOWCASTING REPORT Updated: August 17, 2018 The New York Fed Staff Nowcast for 2018:Q3 stands at 2.4%. News from this week s data releases decreased the nowcast for 2018:Q3 by 0.2 percentage point. Negative
More informationNOWCASTING REPORT. Updated: July 20, 2018
NOWCASTING REPORT Updated: July 20, 2018 The New York Fed Staff Nowcast stands at 2.7% for 2018:Q2 and 2.4% for 2018:Q3. News from this week s data releases decreased the nowcast for 2018:Q2 by 0.1 percentage
More informationNOWCASTING REPORT. Updated: September 7, 2018
NOWCASTING REPORT Updated: September 7, 2018 The New York Fed Staff Nowcast stands at 2.2% for 2018:Q3 and 2.8% for 2018:Q4. News from this week s data releases increased the nowcast for 2018:Q3 by 0.2
More informationNOWCASTING REPORT. Updated: May 20, 2016
NOWCASTING REPORT Updated: May 20, 2016 The FRBNY Staff Nowcast for GDP growth in 2016:Q2 is 1.7%, half a percentage point higher than last week. Positive news came from manufacturing and housing data
More informationNOWCASTING REPORT. Updated: April 15, 2016
NOWCASTING REPORT Updated: April 15, 2016 GDP growth prospects remain moderate for the rst half of the year: the nowcasts stand at 0.8% for 2016:Q1 and 1.2% for 2016:Q2. News from this week's data releases
More informationNOWCASTING REPORT. Updated: September 14, 2018
NOWCASTING REPORT Updated: September 14, 2018 The New York Fed Staff Nowcast stands at 2.2% for 2018:Q3 and 2.8% for 2018:Q4. This week s data releases left the nowcast for both quarters broadly unchanged.
More informationNOWCASTING REPORT. Updated: May 5, 2017
NOWCASTING REPORT Updated: May 5, 217 The FRBNY Staff Nowcast stands at 1.8% for 217:Q2. News from this week s data releases reduced the nowcast for Q2 by percentage point. Negative surprises from the
More informationNOWCASTING REPORT. Updated: November 30, 2018
NOWCASTING REPORT Updated: November 30, 2018 The New York Fed Staff Nowcast for 2018:Q4 stands at 2.5%. News from this week s data releases left the nowcast for 2018:Q4 broadly unchanged. A negative surprise
More informationNOWCASTING REPORT. Updated: January 4, 2019
NOWCASTING REPORT Updated: January 4, 2019 The New York Fed Staff Nowcast stands at 2.5% for 2018:Q4 and 2.1% for 2019:Q1. News from this week s data releases left the nowcast for both quarters broadly
More informationNOWCASTING REPORT. Updated: September 23, 2016
NOWCASTING REPORT Updated: September 23, 216 The FRBNY Staff Nowcast stands at 2.3% and 1.2% for 216:Q3 and 216:Q4, respectively. Negative news since the report was last published two weeks ago pushed
More informationNOWCASTING REPORT. Updated: October 21, 2016
NOWCASTING REPORT Updated: October 21, 216 The FRBNY Staff Nowcast stands at 2.2% for 216:Q3 and 1.4% for 216:Q4. Overall this week s news had a negative effect on the nowcast. The most notable developments
More informationNOWCASTING REPORT. Updated: February 22, 2019
NOWCASTING REPORT Updated: February 22, 2019 The New York Fed Staff Nowcast stands at 2.3% for 2018:Q4 and 1.2% for 2019:Q1. News from this week s data releases increased the nowcast for both 2018:Q4 and
More informationSurprise indexes and nowcasting: why do markets react to macroeconomic news?
Introduction: surprise indexes Surprise indexes and nowcasting: why do markets react to macroeconomic news? Alberto Caruso Confindustria and Université libre de Bruxelles Conference on Real-Time Data Analysis,
More informationLucrezia Reichlin London Business School & Now-Casting Economics Ltd and Silvia Miranda Agrippino, Now-Casting Economics Ltd
NOW-CASTING AND THE REAL TIME DATA FLOW Lucrezia Reichlin London Business School & Now-Casting Economics Ltd and Silvia Miranda Agrippino, Now-Casting Economics Ltd PRESENTATION AT BIS, HONG KONG 22 ND
More informationVolume 38, Issue 2. Nowcasting the New Turkish GDP
Volume 38, Issue 2 Nowcasting the New Turkish GDP Barış Soybilgen İstanbul Bilgi University Ege Yazgan İstanbul Bilgi University Abstract In this study, we predict year-on-year and quarter-on-quarter Turkish
More informationNowcasting Norwegian GDP
Nowcasting Norwegian GDP Knut Are Aastveit and Tørres Trovik May 13, 2007 Introduction Motivation The last decades of advances in information technology has made it possible to access a huge amount of
More informationNowcasting and Short-Term Forecasting of Russia GDP
Nowcasting and Short-Term Forecasting of Russia GDP Elena Deryugina Alexey Ponomarenko Aleksey Porshakov Andrey Sinyakov Bank of Russia 12 th ESCB Emerging Markets Workshop, Saariselka December 11, 2014
More informationWarwick Business School Forecasting System. Summary. Ana Galvao, Anthony Garratt and James Mitchell November, 2014
Warwick Business School Forecasting System Summary Ana Galvao, Anthony Garratt and James Mitchell November, 21 The main objective of the Warwick Business School Forecasting System is to provide competitive
More informationESRI Research Note Nowcasting and the Need for Timely Estimates of Movements in Irish Output
ESRI Research Note Nowcasting and the Need for Timely Estimates of Movements in Irish Output David Byrne, Kieran McQuinn and Ciara Morley Research Notes are short papers on focused research issues. Nowcasting
More informationNOWCASTING THE NEW TURKISH GDP
CEFIS WORKING PAPER SERIES First Version: August 2017 NOWCASTING THE NEW TURKISH GDP Barış Soybilgen, İstanbul Bilgi University Ege Yazgan, İstanbul Bilgi University Nowcasting the New Turkish GDP Barış
More informationNowcasting the Finnish economy with a large Bayesian vector autoregressive model
Nowcasting the Finnish economy with a large Bayesian vector autoregressive model Itkonen,J. & Juvonen,P. Suomen Pankki Conference on Real-Time Data Analysis, Methods and Applications 19.10.2017 Introduction
More informationShort-term forecasts of GDP from dynamic factor models
Short-term forecasts of GDP from dynamic factor models Gerhard Rünstler gerhard.ruenstler@wifo.ac.at Austrian Institute for Economic Research November 16, 2011 1 Introduction Forecasting GDP from large
More informationNowcasting: The Real-Time Informational Content of Macroeconomic Data
Nowcasting: The Real-Time Informational Content of Macroeconomic Data Domenico Giannone*; European Central Bank, ECARES and CEPR Lucrezia Reichlin, European Central Bank and CEPR David Small, Board of
More informationEuro-indicators Working Group
Euro-indicators Working Group Luxembourg, 9 th & 10 th June 2011 Item 9.4 of the Agenda New developments in EuroMIND estimates Rosa Ruggeri Cannata Doc 309/11 What is EuroMIND? EuroMIND is a Monthly INDicator
More information03/RT/11 Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters
03/RT/11 Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters Joëlle Liebermann Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters Joëlle Liebermann Central
More information14 03R. Nowcasting U.S. Headline and Core Inflation. Edward S. Knotek II and Saeed Zaman FEDERAL RESERVE BANK OF CLEVELAND
w o r k i n g p a p e r 14 03R Nowcasting U.S. Headline and Core Inflation Edward S. Knotek II and Saeed Zaman FEDERAL RESERVE BANK OF CLEVELAND Working papers of the Federal Reserve Bank of Cleveland
More informationD Agostino, Antonello; McQuinn, Kieran and O Brien, Derry European Central Bank, Central Bank of Ireland, Central Bank of Ireland
MPRA Munich Personal RePEc Archive Nowcasting Irish GDP D Agostino, Antonello; McQuinn, Kieran and O Brien, Derry European Central Bank, Central Bank of Ireland, Central Bank of Ireland 2011 Online at
More informationThe Econometric Analysis of Mixed Frequency Data with Macro/Finance Applications
The Econometric Analysis of Mixed Frequency Data with Macro/Finance Applications Instructor: Eric Ghysels Structure of Course It is easy to collect and store large data sets, particularly of financial
More informationNOWCASTING GDP IN GREECE: A NOTE ON FORECASTING IMPROVEMENTS FROM THE USE OF BRIDGE MODELS
South-Eastern Europe Journal of Economics 1 (2015) 85-100 NOWCASTING GDP IN GREECE: A NOTE ON FORECASTING IMPROVEMENTS FROM THE USE OF BRIDGE MODELS DIMITRA LAMPROU * University of Peloponnese, Tripoli,
More informationThe Case of Japan. ESRI CEPREMAP Joint Workshop November 13, Bank of Japan
New Monthly Estimation Approach for Nowcasting GDP Growth: The Case of Japan ESRI CEPREMAP Joint Workshop November 13, 2014 Naoko Hara Bank of Japan * Views expressed in this paper are those of the authors,
More informationShort Term Forecasts of Euro Area GDP Growth
Short Term Forecasts of Euro Area GDP Growth Elena Angelini European Central Bank Gonzalo Camba Mendez European Central Bank Domenico Giannone European Central Bank, ECARES and CEPR Lucrezia Reichlin London
More informationQuarterly Bulletin 2018 Q3. Topical article Gauging the globe: the Bank s approach to nowcasting world GDP. Bank of England 2018 ISSN
Quarterly Bulletin 2018 Q3 Topical article Gauging the globe: the Bank s approach to nowcasting world GDP Bank of England 2018 ISSN 2399-4568 Topical articles The Bank s approach to nowcasting world GDP
More informationDNB W O R K ING P A P E R. Nowcasting and forecasting economic growth in the euro area using principal components. No. 415 / February 2014
DNB Working Paper No. 415 / February 2014 Irma Hindrayanto, Siem Jan Koopman and Jasper de Winter DNB W O R K ING P A P E R Nowcasting and forecasting economic growth in the euro area using principal components
More informationIdentifying the Monetary Policy Shock Christiano et al. (1999)
Identifying the Monetary Policy Shock Christiano et al. (1999) The question we are asking is: What are the consequences of a monetary policy shock a shock which is purely related to monetary conditions
More informationShort-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data Marie Diron European Central Bank*
Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data Marie Diron European Central Bank* This draft: April 2005 Abstract Economic policy makers,
More informationEstimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions
Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions James Morley 1 Benjamin Wong 2 1 University of Sydney 2 Reserve Bank of New Zealand The view do not necessarily represent
More informationFaMIDAS: A Mixed Frequency Factor Model with MIDAS structure
FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure Frale C., Monteforte L. Computational and Financial Econometrics Limassol, October 2009 Introduction After the recent financial and economic
More informationMacroeconomic Nowcasting and Forecasting with Big Data
Federal Reserve Bank of New York Staff Reports Macroeconomic Nowcasting and Forecasting with Big Data Brandyn Bok Daniele Caratelli Domenico Giannone Argia Sbordone Andrea Tambalotti Staff Report No. 830
More informationHave Economic Models Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When? Not-For-Publication Appendix
Have Economic Models Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When? Not-For-Publication Appendix Barbara Rossi Duke University and Tatevik Sekhposyan UNC - Chapel
More informationError Statistics for the Survey of Professional Forecasters for Treasury Bill Rate (Three Month)
Error Statistics for the Survey of Professional Forecasters for Treasury Bill Rate (Three Month) 1 Release Date: 08/17/2018 Tom Stark Research Officer and Assistant Director Real-Time Data Research Center
More informationIncorporating Conjunctural Analysis in Structural Models
Incorporating Conjunctural Analysis in Structural Models Domenico Giannone, European Central Bank, ECARES and CEPR Francesca Monti, ECARES, Université Libre de Bruxelles Lucrezia Reichlin, London Business
More informationSHORT TERM FORECASTING SYSTEM OF PRIVATE DEMAND COMPONENTS IN ARMENIA
Vol. 1 (2015) ARMENIAN JOURNAL OF ECONOMICS 21 SHORT TERM FORECASTING SYSTEM OF PRIVATE DEMAND COMPONENTS IN ARMENIA Narek Ghazaryan 1 Abstract This paper describes the system for the short term forecasting
More informationExtended IS-LM model - construction and analysis of behavior
Extended IS-LM model - construction and analysis of behavior David Martinčík Department of Economics and Finance, Faculty of Economics, University of West Bohemia, martinci@kef.zcu.cz Blanka Šedivá Department
More informationError Statistics for the Survey of Professional Forecasters for Treasury Bond Rate (10 Year)
Error Statistics for the Survey of Professional Forecasters for Treasury Bond Rate (10 Year) 1 Release Date: 03/02/2018 Tom Stark Research Officer and Assistant Director Real-Time Data Research Center
More informationPanel on Macroeconomic Forecasting and Nowcasting
Panel on Macroeconomic Forecasting and Nowcasting Domenico Giannone, Federal Reserve Bank of New York 2018 CARE Conference Firm-level Information and the Macroeconomy Disclaimer: The views expressed herein
More informationAbstract. Keywords: Factor Models, Forecasting, Large Cross-Sections, Missing data, EM algorithm.
Maximum likelihood estimation of large factor model on datasets with missing data: forecasting euro area GDP with mixed frequency and short-history indicators. Marta Bańbura 1 and Michele Modugno 2 Abstract
More informationA Comparison of Business Cycle Regime Nowcasting Performance between Real-time and Revised Data. By Arabinda Basistha (West Virginia University)
A Comparison of Business Cycle Regime Nowcasting Performance between Real-time and Revised Data By Arabinda Basistha (West Virginia University) This version: 2.7.8 Markov-switching models used for nowcasting
More informationGDP forecast errors Satish Ranchhod
GDP forecast errors Satish Ranchhod Editor s note This paper looks more closely at our forecasts of growth in Gross Domestic Product (GDP). It considers two different measures of GDP, production and expenditure,
More informationAssessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland
Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland Boriss Siliverstovs Konstantin A. Kholodilin December 5, 2009 Abstract This
More informationRevisiting Initial Jobless Claims as a Labor Market Indicator. John Carter Braxton May 2013; Revised March 2014 RWP 13-03
Revisiting Initial Jobless Claims as a Labor Market Indicator John Carter Braxton May 2013; Revised March 2014 RWP 13-03 Revisiting Initial Jobless Claims as a Labor Market Indicator John Carter Braxton
More informationInflation Report April June 2012
August, 212 Outline 1. External Conditions 2. Economic Activity in Mexico 3. Monetary Policy and Inflation Determinants. Forecasts and Balance of Risks External Conditions Global economic growth slowed
More informationTable 01A. End of Period End of Period End of Period Period Average Period Average Period Average
SUMMARY EXCHANGE RATE DATA BANK OF ZAMBIA MID-RATES Table 01A Period K/USD K/GBP K/ZAR End of Period End of Period End of Period Period Average Period Average Period Average Monthly January 6.48 6.46 9.82
More informationBusiness Cycle Dating Committee of the Centre for Economic Policy Research. 1. The CEPR Business Cycle Dating Committee
Business Cycle Dating Committee of the Centre for Economic Policy Research Michael Artis Fabio Canova Jordi Gali Francesco Giavazzi Richard Portes (President, CEPR) Lucrezia Reichlin (Chair) Harald Uhlig
More informationThe Central Bank of Iceland forecasting record
Forecasting errors are inevitable. Some stem from errors in the models used for forecasting, others are due to inaccurate information on the economic variables on which the models are based measurement
More informationEconomics 390 Economic Forecasting
Economics 390 Economic Forecasting Prerequisite: Econ 410 or equivalent Course information is on website Office Hours Tuesdays & Thursdays 2:30 3:30 or by appointment Textbooks Forecasting for Economics
More informationMaximum likelihood estimation of large factor model on datasets with arbitrary pattern of missing data.
Maximum likelihood estimation of large factor model on datasets with arbitrary pattern of missing data. Marta Bańbura 1 and Michele Modugno 2 Abstract In this paper we show how to estimate a large dynamic
More informationEuro-indicators Working Group
Euro-indicators Working Group Luxembourg, 9 th & 10 th June 2011 Item 9.3 of the Agenda Towards an early warning system for the Euro area By Gian Luigi Mazzi Doc 308/11 Introduction Clear picture of economic
More informationError Statistics for the Survey of Professional Forecasters for Industrial Production Index
Error Statistics for the Survey of Professional Forecasters for Industrial Production Index 1 Release Date: 05/23/2018 Tom Stark Research Officer and Assistant Director Real-Time Data Research Center Economic
More informationA look into the factor model black box Publication lags and the role of hard and soft data in forecasting GDP
A look into the factor model black box Publication lags and the role of hard and soft data in forecasting GDP Marta Bańbura and Gerhard Rünstler Directorate General Research European Central Bank November
More informationNowcasting at the Italian Fiscal Council Libero Monteforte Parliamentary Budget Office (PBO)
Nowcasting at the Italian Fiscal Council Libero Monteforte Parliamentary Budget Office (PBO) Bratislava, 23 November 2018 1 Outline Introduction Nowcasting for IFI s Nowcasting at PBO: Introduction The
More informationUPPSALA UNIVERSITY - DEPARTMENT OF STATISTICS MIDAS. Forecasting quarterly GDP using higherfrequency
UPPSALA UNIVERSITY - DEPARTMENT OF STATISTICS MIDAS Forecasting quarterly GDP using higherfrequency data Authors: Hanna Lindgren and Victor Nilsson Supervisor: Lars Forsberg January 12, 2015 We forecast
More informationAdvances in Nowcasting Economic Activity
Advances in Nowcasting Economic Activity Juan Antoĺın-Díaz 1 Thomas Drechsel 2 Ivan Petrella 3 XIII Annual Conference on Real-Time Data Analysis Banco de España October 19, 217 1 Fulcrum Asset Management
More informationIs the Purchasing Managers Index a Reliable Indicator of GDP Growth?
Is the Purchasing Managers Index a Reliable Indicator of GDP Growth? Some Evidence from Indian Data i c r a b u l l e t i n Suchismita Bose Abstract Purchasing Managers Index (PMI) surveys have been developed
More informationA Global Trade Model for the Euro Area
A Global Trade Model for the Euro Area Antonello D Agostino, a Michele Modugno, b and Chiara Osbat c a Rokos Capital Management b Federal Reserve Board c European Central Bank We propose a model for analyzing
More informationAssessing recent external forecasts
Assessing recent external forecasts Felipe Labbé and Hamish Pepper This article compares the performance between external forecasts and Reserve Bank of New Zealand published projections for real GDP growth,
More informationS ince 1980, there has been a substantial
FOMC Forecasts: Is All the Information in the Central Tendency? William T. Gavin S ince 1980, there has been a substantial improvement in the performance of monetary policy among most of the industrialized
More informationTIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu
TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Component
More informationMixed-frequency large-scale factor models. Mirco Rubin
Mixed-frequency large-scale factor models Mirco Rubin Università della Svizzera Italiana & 8 th ECB Workshop on Forecasting Techniques, Frankfurt am Main, Germany June, 14 th 2014 Joint work with E. Andreou,
More informationPanel Discussion on Uses of Models at Central Banks
Slide 1 of 25 on Uses of Models at Central Banks ECB Workshop on DSGE Models and Forecasting September 23, 2016 Slide 1 of 24 How are models used at the Board of Governors? For forecasting For alternative
More informationTIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda
TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Compon Analysis
More informationIntroduction to Unigestion s nowcaster indicators
RESEARCH PAPER Introduction to Unigestion s nowcaster indicators MARCH 2017 FLORIAN IELPO HEAD OF MACROECONOMIC RESEARCH CROSS ASSET SOLUTIONS This note is a brief guide to the construction of the set
More informationAdvances in Nowcasting Economic Activity
Advances in Nowcasting Economic Activity Juan Antoĺın-Díaz 1 Thomas Drechsel 2 Ivan Petrella 3 2nd Forecasting at Central Banks Conference Bank of England November 15, 218 1 London Business School 2 London
More informationThe Superiority of Greenbook Forecasts and the Role of Recessions
The Superiority of Greenbook Forecasts and the Role of Recessions N. Kundan Kishor University of Wisconsin-Milwaukee Abstract In this paper, we examine the role of recessions on the relative forecasting
More informationReal-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
w o r k i n g p a p e r 12 27 Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility Andrea Carriero, Todd E. Clark, and Massimiliano Marcellino FEDERAL RESERVE BANK OF CLEVELAND
More informationFORECASTING WITH REAL-TIME MACROECONOMIC DATA. Dean Croushore. University of Richmond. June 2005
FORECASTING WITH REAL-TIME MACROECONOMIC DATA Dean Croushore University of Richmond June 2005 Thanks to participants at the Handbook of Economic Forecasting Conference in 2004 and to two anonymous referees
More informationMatteo Luciani. Lorenzo Ricci
Nowcasting Norway Matteo Luciani SBS EM, ECARES, Université Libre de Bruxelless and FNRS Lorenzo Ricci SBS EM, ECARES,, Université Libre de Bruxelles ECARES working paper 203 0 ECARES ULB - CP 4/ /04 50,
More informationThe Blue Chip Survey: Moving Beyond the Consensus
The Useful Role of Forecast Surveys Sponsored by NABE ASSA Annual Meeting, January 7, 2005 The Blue Chip Survey: Moving Beyond the Consensus Kevin L. Kliesen, Economist Work in Progress Not to be quoted
More informationIn July, US wholesalers inventories were flat month over month, and their sales declined. The inventory-to-sales ratio was 1.34.
September 16, 2016 i l US In August, the ISM Manufacturing Purchasing Managers Index (PMI) slid to 49.4, trailing the consensus estimate of 52.0 and falling into contraction territory. The ISM Non-Manufacturing
More informationBRITISH VIRGIN ISLANDS SECTORAL GROSS DOMESTIC PRODUCT MARKET PRICES (current prices) (US$M)
SECTORAL GROSS DOMESTIC PRODUCT MARKET PRICES (current prices) Sector 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000r 2001r 2002r 2003r 2004r 2005e Agriculture, Hunting & Forestry 1.36 1.50 1.63 1.77
More informationDynamic Factor Models and Factor Augmented Vector Autoregressions. Lawrence J. Christiano
Dynamic Factor Models and Factor Augmented Vector Autoregressions Lawrence J Christiano Dynamic Factor Models and Factor Augmented Vector Autoregressions Problem: the time series dimension of data is relatively
More informationComment on: Automated Short-Run Economic Forecast (ASEF) By Nicolas Stoffels. Bank of Canada Workshop October 25-26, 2007
Background material Comment on: Automated Short-Run Economic Forecast (ASEF) By Nicolas Stoffels Bank of Canada Workshop October 25-26, 2007 André Binette (Bank of Canada) 1 Summary of ASEF 1. Automated
More informationWORKING PAPER SERIES SHORT-TERM FORECASTS OF EURO AREA REAL GDP GROWTH AN ASSESSMENT OF REAL-TIME PERFORMANCE BASED ON VINTAGE DATA NO 622 / MAY 2006
WORKING PAPER SERIES NO 622 / MAY 2006 SHORT-TERM FORECASTS OF EURO AREA REAL GDP GROWTH AN ASSESSMENT OF REAL-TIME PERFORMANCE BASED ON VINTAGE DATA by Marie Diron WORKING PAPER SERIES NO 622 / MAY 2006
More informationNowcasting GDP Using Available Monthly Indicators
Working Papers W-39 Nowcasting GDP Using Available Monthly Indicators Davor Kunovac and Borna Špalat Zagreb, October 2014 WORKING PAPERS W-39 PUBLISHER Croatian National Bank Publishing Department Trg
More informationIdentifying Aggregate Liquidity Shocks with Monetary Policy Shocks: An Application using UK Data
Identifying Aggregate Liquidity Shocks with Monetary Policy Shocks: An Application using UK Data Michael Ellington and Costas Milas Financial Services, Liquidity and Economic Activity Bank of England May
More informationGlobal surveys or hard data which are the fake news?
by Gavyn Davies The Fulcrum global nowcasts continue to report very strong growth in global economic activity, especially in the advanced economies. These results contrast with weaker reports from official
More informationIntroduction to Macroeconomics
Introduction to Macroeconomics Martin Ellison Nuffi eld College Michaelmas Term 2018 Martin Ellison (Nuffi eld) Introduction Michaelmas Term 2018 1 / 39 Macroeconomics is Dynamic Decisions are taken over
More informationNo Staff Memo. Evaluating real-time forecasts from Norges Bank s system for averaging models. Anne Sofie Jore, Norges Bank Monetary Policy
No. 12 2012 Staff Memo Evaluating real-time forecasts from Norges Bank s system for averaging models Anne Sofie Jore, Norges Bank Monetary Policy Staff Memos present reports and documentation written by
More informationSHORT-TERM FORECASTING OF REAL GDP USING MONTHLY DATA
SHORT-TERM FORECASTING OF REAL GDP USING MONTHLY DATA JURAJ HUČEK, ALEXANDER KARŠAY, MARIÁN VÁVRA OCCASIONAL PAPER National Bank of Slovakia www.nbs.sk Imricha Karvaša 1 813 25 Bratislva research@nbs.sk
More information07/RT/12. Real-time forecasting in a data-rich environment. Joëlle Liebermann
07/RT/12 Real-time forecasting in a data-rich environment Joëlle Liebermann Real-time forecasting in a data-rich environment Joëlle Liebermann Abstract This paper assesses the ability of different models
More informationAccuracy in Forecasting Macroeconomic Variables in India
211 18 Accuracy in Forecasting Macroeconomic Variables in India Dr. Amitabha Maheshwari 1, Prof. Sanjay Gupta 2, Dr. Srinivasa Rao Kasisomayajula 3, Lotica Surana 4, Jyoti Agrawal 5, Prakash Thakur 6 &
More informationNorges Bank Nowcasting Project. Shaun Vahey October 2007
Norges Bank Nowcasting Project Shaun Vahey October 2007 Introduction Most CBs combine (implicitly): Structural macro models (often large) to capture impact of policy variables on targets Less structural
More informationPANEL DISCUSSION: THE ROLE OF POTENTIAL OUTPUT IN POLICYMAKING
PANEL DISCUSSION: THE ROLE OF POTENTIAL OUTPUT IN POLICYMAKING James Bullard* Federal Reserve Bank of St. Louis 33rd Annual Economic Policy Conference St. Louis, MO October 17, 2008 Views expressed are
More informationA Monthly Indicator of Economic Activity for Ireland
A Monthly Indicator of Economic Activity for Ireland Thomas Conefrey and Graeme Walsh Vol. 2018, No. 14. T: +353 (0)1 224 6000 E: xxx@centralbank.ie www.centralbank.ie A Monthly Indicator of Economic Activity
More informationHow Useful Are Forecasts of Corporate Profits?
How Useful Are Forecasts of Corporate Profits? Dean Croushore How Useful Are Forecasts Of Corporate Profits? Dean Croushore* Investors forecasts of corporate profits affect the prices of corporate stock.
More informationShould one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators
BOFIT Discussion Papers 19 2017 Heiner Mikosch and Laura Solanko Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators
More informationFactor models. March 13, 2017
Factor models March 13, 2017 Factor Models Macro economists have a peculiar data situation: Many data series, but usually short samples How can we utilize all this information without running into degrees
More informationWORKING PAPER NO DO GDP FORECASTS RESPOND EFFICIENTLY TO CHANGES IN INTEREST RATES?
WORKING PAPER NO. 16-17 DO GDP FORECASTS RESPOND EFFICIENTLY TO CHANGES IN INTEREST RATES? Dean Croushore Professor of Economics and Rigsby Fellow, University of Richmond and Visiting Scholar, Federal
More informationWP6 Early estimates of economic indicators. WP6 coordinator: Tomaž Špeh, SURS ESSNet Big data: BDES 2018 Sofia 14.,
WP6 Early estimates of economic indicators WP6 coordinator: Tomaž Špeh, SURS ESSNet Big data: BDES 2018 Sofia 14.,15.5.2018 WP6 objectives Outline Summary of activities carried out and results achieved
More informationAn Empirical Analysis of RMB Exchange Rate changes impact on PPI of China
2nd International Conference on Economics, Management Engineering and Education Technology (ICEMEET 206) An Empirical Analysis of RMB Exchange Rate changes impact on PPI of China Chao Li, a and Yonghua
More informationCITY OF MESQUITE Quarterly Investment Report Overview Quarter Ending June 30, 2018
CITY OF MESQUITE Quarterly Investment Report Overview Quarter Ending June 30, 2018 Investment objectives are safety, liquidity, yield and public trust. Portfolio objective is to meet or exceed the average
More information