Arbeitspapier
Are daily financial data useful for forecasting GDP? Evidence from Mexico
This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both quarterly and daily frequencies while remaining parsimonious. To preserve parsimony, factor analysis and forecast combination techniques are used to summarize the information contained in a dataset containing 392 daily financial series. Our findings suggest that the MIDAS model that incorporates daily financial data lead to improvements for quarterly forecasts of GDP growth over traditional models that either rely only on quarterly macroeconomic data or average daily financial data. Furthermore, we explore the ability of the MIDAS model to provide forecast updates for GDP growth (nowcasting).
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2017-17
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
GDP Forecasting
Mixed Frequency Data
Daily Financial Data
Nowcasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gomez-Zamudio, Luis M.
Ibarra-Ramírez, Raúl
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gomez-Zamudio, Luis M.
- Ibarra-Ramírez, Raúl
- Banco de México
Entstanden
- 2017
Ähnliche Objekte (12)
Forecasting Inflation in Mexico using factor models: Do disaggregated CPI data improve forecast accuracy?
Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Forecast revisions of Mexican inflation and GDP growth
A multivariate analysis of SIEFORE daily returns
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Comovimiento y concordancia cíclica del empleo en los estados Mexicanos
Price competition on network
Key sectors in economic development: A perspective from input-output linkages and cross-sector misallocation
Geldschein, 10 Pesos, 1.8.1931
Insurance against local productivity shocks
On the drivers of inflation in different monetary regimes
Railroads and economic growth: A trade policy approach
Forecasting Inflation in Mexico using factor models: Do disaggregated CPI data improve forecast accuracy?
Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Forecast revisions of Mexican inflation and GDP growth
A multivariate analysis of SIEFORE daily returns
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Comovimiento y concordancia cíclica del empleo en los estados Mexicanos
Price competition on network
Key sectors in economic development: A perspective from input-output linkages and cross-sector misallocation
Geldschein, 10 Pesos, 1.8.1931
Insurance against local productivity shocks
On the drivers of inflation in different monetary regimes
Railroads and economic growth: A trade policy approach
Forecasting Inflation in Mexico using factor models: Do disaggregated CPI data improve forecast accuracy?
Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Forecast revisions of Mexican inflation and GDP growth
A multivariate analysis of SIEFORE daily returns
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Comovimiento y concordancia cíclica del empleo en los estados Mexicanos
Price competition on network
Key sectors in economic development: A perspective from input-output linkages and cross-sector misallocation
Geldschein, 10 Pesos, 1.8.1931
Insurance against local productivity shocks
On the drivers of inflation in different monetary regimes