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Following the Trend: Tracking GDP when Long-Run Growth is Uncertain

Antolin-Diaz, Juan; Drechsel, Thomas; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

Using a dynamic factor model that allows for changes in both the long- run growth rate of output and the volatility of business cycles, we document a significant decline in long-run output growth in the United States. Our evidence supports the view that this slowdown started prior to the Great...

Persistent link: https://www.econbiz.de/10011145426

Short-term Forecasts of Euro Area GDP Growth

Angelini, Elena; Camba-Mendez, Gonzalo; Giannone, Domenico - C.E.P.R. Discussion Papers - 2008

This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting … for now-casting. …

Persistent link: https://www.econbiz.de/10005124140

Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

Giannone, Domenico; Reichlin, Lucrezia; Small, David - C.E.P.R. Discussion Papers - 2005

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving...

Persistent link: https://www.econbiz.de/10005124339

Did Fiscal Policy Makers Know What They Were Doing? Reassessing Fiscal Policy with Real Time Data.

Bernoth, Kerstin; Hughes Hallett, Andrew; Lewis, John - C.E.P.R. Discussion Papers - 2008

Empirical fiscal policy reaction functions based on ex-post data cannot be said to describe fiscal policymakers intentions because they utilise data which did not exist when their decisions were made. A characterisation of what fiscal policy makers were trying to do requires real time data. This...

Persistent link: https://www.econbiz.de/10005666438

Early Warning or Just Wise After the Event? The Problem of Using Cyclically Adjusted Budget Deficits for Fiscal Surveillance

Hughes Hallett, Andrew; Kattai, Rasmus; Lewis, John - C.E.P.R. Discussion Papers - 2007

The effectiveness of cyclically adjusted balances (CABs) as an indicator of the health of public finances depends on the accuracy with which cyclically adjusted figures can be calculated in real time. This paper measures the accuracy of such figures using a specially constructed real time data...

Persistent link: https://www.econbiz.de/10005666802

Nowcasting

Banbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2010

We define nowcasting as the prediction of the present, the very near future and the very recent past. Key in this … argue that the nowcasting process goes beyond the simple production of an early estimate and it consists in the analysis of … nowcasting traditionally conducted in policy institutions and used, alongside the judgemental procedures, in many central banks …

Persistent link: https://www.econbiz.de/10008468620

Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real-Time Data are Available

Lee, Kevin; Olekalns, Nils; Shields, Kalvinder K - C.E.P.R. Discussion Papers - 2009

A canonical model is described which reflects the real-time informational context of decision-making. Comparisons are drawn with ‘conventional’ models that incorrectly omit market-informed insights on future macroeconomic conditions and inappropriately incorporate information that was not...

Persistent link: https://www.econbiz.de/10008528535

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009

paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …

Persistent link: https://www.econbiz.de/10008528546

Pooling versus model selection for nowcasting with many predictors: An application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes...

Persistent link: https://www.econbiz.de/10005123534

Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP

Marcellino, Massimiliano; Schumacher, Christian - C.E.P.R. Discussion Papers - 2008

. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …

Persistent link: https://www.econbiz.de/10005124208