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Nowcasting Czech GDP in real time

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  • Rusnák, Marek

Abstract

In this paper, we employ a Dynamic Factor Model (DFM) to nowcast Czech GDP. Using multiple vintages of historical data and taking into account the publication lags of various monthly indicators, we evaluate the real-time performance of the DFM over the 2005–2012 period. The main result of this paper is that the accuracy of model-based nowcasts is comparable to that of the nowcasts of the Czech National Bank (CNB). Moreover, combining the DFM and the CNB nowcasts results in more accurate performance than in the case of the individual nowcasts alone. Our results also suggest that foreign variables are crucial for the accuracy of the model, while omitting financial and confidence indicators does not worsen the nowcasting performance.

Suggested Citation

  • Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    • Handle: RePEc:eee:ecmode:v:54:y:2016:i:c:p:26-39
    DOI: 10.1016/j.econmod.2015.12.010
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    Cited by:

    1. Helena Rodríguez, 2014. "Un indicador de la evolución del PIB uruguayo en tiempo real," Documentos de trabajo 2014009, Banco Central del Uruguay.
    2. David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.
    3. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]," MPRA Paper 63713, University Library of Munich, Germany.
    4. Christian Glocker & Philipp Wegmueller, 2020. "Business cycle dating and forecasting with real-time Swiss GDP data," Empirical Economics, Springer, vol. 58(1), pages 73-105, January.
    5. Aleksandra Riedl & Julia Wörz, 2018. "A simple approach to nowcasting GDP growth in CESEE economies," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/18, pages 56-74.
    6. Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
    7. repec:cnb:ocpubv:rb16/1 is not listed on IDEAS
    8. repec:cnb:ocpubv:rb15/1 is not listed on IDEAS
    9. Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.
    10. repec:cnb:ocpubv:rb14/2 is not listed on IDEAS
    11. Hwee Kwan Chow & Yijie Fei & Daniel Han, 2023. "Forecasting GDP with many predictors in a small open economy: forecast or information pooling?," Empirical Economics, Springer, vol. 65(2), pages 805-829, August.
    12. Bragoli, Daniela & Modugno, Michele, 2017. "A now-casting model for Canada: Do U.S. variables matter?," International Journal of Forecasting, Elsevier, vol. 33(4), pages 786-800.
    13. repec:cnb:ocpubv:rb15/2 is not listed on IDEAS
    14. Porshakov, A. & Ponomarenko, A. & Sinyakov, A., 2016. "Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model," Journal of the New Economic Association, New Economic Association, vol. 30(2), pages 60-76.
    15. Caruso, Alberto, 2018. "Nowcasting with the help of foreign indicators: The case of Mexico," Economic Modelling, Elsevier, vol. 69(C), pages 160-168.
    16. repec:cnb:ocpubv:rb16/2 is not listed on IDEAS
    17. Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.
    18. repec:cnb:ocpubv:rb14/1 is not listed on IDEAS
    19. Davor Kunovac & Borna Špalat, 2014. "Nowcasting GDP Using Available Monthly Indicators," Working Papers 39, The Croatian National Bank, Croatia.
    20. Wegmüller, Philipp & Glocker, Christian & Guggia, Valentino, 2023. "Weekly economic activity: Measurement and informational content," International Journal of Forecasting, Elsevier, vol. 39(1), pages 228-243.

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    17. Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
    18. Chernis, Tony & Cheung, Calista & Velasco, Gabriella, 2020. "A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth," International Journal of Forecasting, Elsevier, vol. 36(3), pages 851-872.
    19. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
    20. Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2018. "Nowcasting Indonesia," Empirical Economics, Springer, vol. 55(2), pages 597-619, September.

    More about this item

    Keywords

    Dynamic factor model; GDP; Nowcasting; Real-time data;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

    Statistics

    Access and download statistics

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