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Nowcasting with large Bayesian vector autoregressions

Author

Listed:
  • Cimadomo, Jacopo
  • Giannone, Domenico
  • Lenza, Michele
  • Monti, Francesca
  • Sokol, Andrej

Abstract

Monitoring economic conditions in real time, or nowcasting, and Big Data analytics share some challenges, sometimes called the three “Vs”. Indeed, nowcasting is characterized by the use of a large number of time series (Volume), the complexity of the data covering various sectors of the economy, with different frequencies and precision and asynchronous release dates (Variety), and the need to incorporate new information continuously and in a timely manner (Velocity). In this paper, we explore three alternative routes to nowcasting with Bayesian Vector Autoregressive (BVAR) models and find that they can effectively handle the three Vs by producing, in real time, accurate probabilistic predictions of US economic activity and a meaningful narrative by means of scenario analysis.

Suggested Citation

  • Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
    • Handle: RePEc:eee:econom:v:231:y:2022:i:2:p:500-519
    DOI: 10.1016/j.jeconom.2021.04.012
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    More about this item

    Keywords

    Big data; Scenario analysis; Mixed frequency; Real time; Business cycles; Nowcasting;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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