Macroeconomic nowcasting and forecasting with big data

Macroeconomic nowcasting and forecasting with big data
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Macroeconomic nowcasting and forecasting with big data
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Brandyn Bok
Daniele Caratelli
Domenico Giannone
Argia M. Sbordone
Andrea Tambalotti
Registered:
Brandyn Bok
Daniele Caratelli
Domenico Giannone
Argia M Sbordone
Andrea Tambalotti
Abstract
Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before big data? became pervasive in other disciplines. We review how methods for tracking economic conditions using big data have evolved over time and explain how econometric techniques have advanced to mimic and automate the best practices of forecasters on trading desks, at central banks, and in other market-monitoring roles. We present in detail the methodology underlying the New York Fed Staff Nowcast, which employs these innovative techniques to produce early estimates of GDP growth, synthesizing a wide range of macroeconomic data as they become available.
Suggested Citation
Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2017.
Macroeconomic nowcasting and forecasting with big data
,"
Staff Reports
830, Federal Reserve Bank of New York.
Handle:
RePEc:fip:fednsr:830
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Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018.
Macroeconomic Nowcasting and Forecasting with Big Data
,"
Annual Review of Economics
, Annual Reviews, vol. 10(1), pages 615-643, August.
Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018.
Macroeconomic Nowcasting and Forecasting with Big Data
,"
CEPR Discussion Papers
12589, C.E.P.R. Discussion Papers.
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More about this item
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
C55
- Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
E32
- Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following
NEP Reports
NEP-BIG-2017-12-03
(Big Data)
NEP-FOR-2017-12-03
(Forecasting)
NEP-MAC-2017-12-03
(Macroeconomics)
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