Nowcasting

Arbeitspapier

We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long delays. Until recently, nowcasting had received very little attention by the academic literature, although it was routinely conducted in policy institutions either through a judgemental process or on the basis of simple models. We argue that the nowcasting process goes beyond the simple production of an early estimate as it essentially requires the assessment of the impact of new data on the subsequent forecast revisions for the target variable. We design a statistical model which produces a sequence of nowcasts in relation to the real time releases of various economic data. The methodology allows to process a large amount of information, as it is traditionally done by practitioners using judgement, but it does it in a fully automatic way. In particular, it provides an explicit link between the news in consecutive data releases and the resulting forecast revisions. To illustrate our ideas, we study the nowcast of euro area GDP in the fourth quarter of 2008.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1275

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; Forecasting Models; Simulation Methods ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Thema: factor model ; forecasting ; news ; Nowcasting ; Wirtschaftsprognose ; Prognoseverfahren ; Zeit ; Theorie ; Eurozone

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bańbura, Marta ; Giannone, Domenico ; Reichlin, Lucrezia
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/153709
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ