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GDP Nowcasting: Assessing business cycle conditions in Argentina

Author

Listed:
  • Laura D´Amato

    (Central Bank of Argentina)

  • Lorena Garegnani

    (Central Bank of Argentina)

  • Emilio Blanco

    (Central Bank of Argentina)

Abstract

Having a correct assessment of current business cycle conditions is one of the mayor challenges for monetary policy conduct. Given that GDP figures are available with a significant delay, central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. Thus we develop a GDP growth nowcasting exercise using two approaches: bridge equations and a dynamic factor model. Both outperform a typical AR(1) benchmark in terms of forecasting accuracy. Moreover, the factor model outperforms the nowcast using bridge equations. Following Giacomini and White (2004) we confirm that these differences are statistically significant.

Suggested Citation

  • Laura D´Amato & Lorena Garegnani & Emilio Blanco, 2015. "GDP Nowcasting: Assessing business cycle conditions in Argentina," BCRA Working Paper Series 201569, Central Bank of Argentina, Economic Research Department.
    • Handle: RePEc:bcr:wpaper:201569
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    File URL: http://www.bcra.gov.ar/Pdfs/Investigaciones/WP_69_2015e.pdf
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    More about this item

    Keywords

    bridge equations; dynamic factor models; nowcasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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