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Identifying Useful Indicators for Nowcasting GDP in Sweden

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Abstract

This paper focuses on identifying useful indicators for nowcasting GDP in Sweden. We analyze 35 monthly indicators spanning the period from 1993 to 2023. Additionally, we evaluate the group-wise performance of these indicators. The analysis is conducted using mixed-data sampling (MIDAS) and mixed-frequency VAR models in both individual and pooled setups for nowcasting. While the primary focus is on nowcasting, we also assess the performance of the indicators for backcasting and forecasting. For nowcasting, we identify 16 indicators in the individual setup and 23 indicators in the pooled setup that outperform the benchmark. Group-wise, indicators belonging to the survey, interest & exchange rates, and public finance groups exhibit strong performance in the individual setup. Notably, in the pooled setup, the output, survey, price, interest & exchange rates, and public finance groups demonstrate strong performance.

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  • Karlsson, Sune & Mazur, Stepan & Raftab, Mariya, 2025. "Identifying Useful Indicators for Nowcasting GDP in Sweden," Working Papers 2025:4, Örebro University, School of Business.
    • Handle: RePEc:hhs:oruesi:2025_004
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    More about this item

    Keywords

    Nowcasting; Swedish GDP; MIDAS; Mixed-frequency VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • 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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