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Nowcast of Macroeconomic Aggregates in Argentina: Comparing the Predictive Capacity of Different Models

Author

Listed:
  • Emilio Blanco

    (Central Bank of Argentina)

  • Laura D’Amato

    (IIEP UBA)

  • Fiorella Dogliolo

    (Central Bank of Argentina)

  • Lorena Garegnani

    (Central Bank of Argentina)

Abstract

A correct and timely assessment of current macroeconomic conditions is a fundamental input for making monetary policy decisions. Although the main source of macroeconomic data comes from the System of National Accounts - published quarterly and with a significant lag - there is a growing availability of high-frequency economic indicators. In this context, central banks have adopted Nowcasting as a useful tool for more immediate and more precise monitoring of current developments. In this paper, the use of Nowcasting tools is extended to produce forward estimates of two components of domestic aggregate demand: consumption and investment. The exercise uses various sets of indicators, broad and restricted, to construct different dynamic factor models, as well as a combination of forecasts for investment. Finally, the different models are compared in a pseudo-real time exercise and their out of sample performance is evaluated.

Suggested Citation

  • Emilio Blanco & Laura D’Amato & Fiorella Dogliolo & Lorena Garegnani, 2021. "Nowcast of Macroeconomic Aggregates in Argentina: Comparing the Predictive Capacity of Different Models," BCRA Working Paper Series 202190, Central Bank of Argentina, Economic Research Department.
    • Handle: RePEc:bcr:wpaper:202190
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    More about this item

    Keywords

    dynamic factor models; forecasting; 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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