Nowcasting Norwegian GDP: The Role of Asset Prices in a Small Open Economy

Arbeitspapier

This paper finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. Other important blocks of data are labor market data and industrial production indicators. We use an approximate dynamic factor model that is able to handle new information as it is released, thus the marginal impact on mean square nowcasting error can be studied for a large number of variables. We use a panel of 148 non-synchronous variables covering a broad spectrum of the Norwegian economy. The strong impact from financial data is due to an ability of the market clearing process to impart information about the real activity in Norway in a timely manner.

Object Details

• ISBN: 978-82-7553-405-5
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2007/9

Classification and Topics

• Classification: Wirtschaft ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: forecasting ; financial markets ; economic growth ; small open economy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Aastveit, Knut Are ; Trovik, Tørres G.
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/209885
• Last update: 10.03.2025, 11:45 AM CET