Panel on Macroeconomic Forecasting and Nowcasting

Transcription

1 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 are solely those of the presenter and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System.

2 Nowcasting Monitoring current economic conditions in real time ümodel-based counterpart to conjuctural analysis üreal-time reading of the newsflow ücontinuously updated nowcast of GDP growth

3 Big-Data Analytics High-dimensional data üincludes the large and complex data monitored by economists at central banks, trading desks, and in the media Entirely automated ümimics best practice without relying on any judgment or subjective prior information Real-time üdigests new information within minutes of the releases

4 Digesting the Newsflow Coherent analysis of the link between macro news and cyclical developments üextract the news/surprise component from data Actual data minus model-based forecasts ütranslate the news in a common unit What s the impact of the news on GDP growth?

5 Methodology Dynamic factor model ü Few factors capture the salient features of business cycle fluctuations Flexibility, parsimony, robustness Filtering techniques ü Efficient processing of real-time information Mixed frequencies, jagged edges, missing data

6 New York Fed Staff Nowcast

7 New York Fed Staff Nowcast

8 New York Fed Staff Nowcast

9 New York Fed Staff Nowcast Nowcasting 2016Q4

10 New York Fed Staff Nowcast Nowcasting 2016Q4

11 New York Fed Staff Nowcast Nowcasting 2016Q4

12 New York Fed Staff Nowcast Nowcasting 2016Q4

13 New York Fed Staff Nowcast Nowcasting 2016Q4

14 New York Fed Staff Nowcast Nowcasting 2016Q4

15 New York Fed Staff Nowcast Nowcasting 2016Q4

16 New York Fed Staff Nowcast Nowcasting 2016Q4

17 What types of data are useful in the context of nowcasting? Is there a potential role for firm-level information? üstatistical agencies already produce big and high-quality macroeconomic data - Widely followed and intensively exploited üit takes work to bring new alternative data to comparable quality - Distill signal from noise Seasonality, outliers, other irregularities - Reliability and replicability Setting standards, quality control

18 Nowcasting

19 Jose M. Caribas (2018) The real-time information content of macroeconomic news: implications for firm-level earnings expectations Review of Accounting Studies

20 High-frequency Cash Flows Davide Pettenuzzo, Riccardo Sabbatucci, and Allan Timmermann (2018)

21 High-frequency Cash Flows Davide Pettenuzzo, Riccardo Sabbatucci, and Allan Timmermann (2018)

22 Caribas (2018) The real-time information content of macroeconomic news: implications for firm-level earnings expectations, Rev. Account. Stud. Pettenuzzo et al. (2018) High-frequency Cash Flows Dynamics, Brandeis University mimeo Further reading ü Giannone et al. (2008) Nowcasting: the Real-Time Information of Macroeconomic Data Releases, Journal of Monetary Economics ü Stock and Watson (2017) Twenty Years of Time Series Econometrics in Ten Pictures, Journal of Economic Perspective ü Bok et al. (2018) Macroeconomic Nowcasting and Forecasting with Big Data, NY Fed Staff Report (to appear on the Annual Review of Economics)