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This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the factor model...
Persistent link: https://www.econbiz.de/10008615361
We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this … collected at low frequency and published with long delays. Until recently, nowcasting had received very little attention by the … basis of simple models. We argue that the nowcasting process goes beyond the simple production of an early estimate as it …
Persistent link: https://www.econbiz.de/10008752568
Survey-based indicators such as the consumer confidence are widely seen as leading indicators for economic activity, especially for the future path of private consumption. Although they receive high attention in the media, their forecasting power appears to be very limited. Therefore, this paper...
Persistent link: https://www.econbiz.de/10008671250
This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st 2008. The results presented may allow for a better understanding of consumer habits and for adjusting...
Persistent link: https://www.econbiz.de/10008673534
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008868072
This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth … nowcasting performance. Similarly to Giannone et al. pseudo realtime results, we find that the precision of the nowcasts …
Persistent link: https://www.econbiz.de/10008873357
This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth … nowcasting performance. Analogously to Giannone et al. (2008) pseudo real-time results, we find that the precision of the …
Persistent link: https://www.econbiz.de/10008839204
This paper applies the factor model proposed by Giannone, Reichlin, and Small (2005) on a large data set to nowcast (i.e. current-quarter forecast) the annual growth rate of China¡¦s quarterly GDP. The data set contains 189 indicator series of several categories, such as prices, industrial...
Persistent link: https://www.econbiz.de/10008852396
Nowcasting has been a challenge in the recent economic crisis. We introduce the Toll Index, a new monthly indicator for …
Persistent link: https://www.econbiz.de/10008854242
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008854481