Nowcasting BRIC+M in real time

Nowcasting BRIC+M in real time
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Nowcasting BRIC+M in real time
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Author
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Dahlhaus, Tatjana
Guénette, Justin-Damien
Vasishtha, Garima
Registered:
Tatjana Dahlhaus
Justin-Damien Guenette
Garima Vasishtha
Abstract
Given the growing importance of emerging market economies (EMEs) in driving global GDP growth, timely and accurate assessments of current and future economic activity in EMEs are important for policy-makers not only in these countries, but also in advanced economies. This paper uses state-of-the-art dynamic factor models (DFMs) to nowcast real GDP growth for Brazil, Russia, India, China, and Mexico (“BRIC+M”). The DFM framework is particularly suitable for EMEs, as it enables the efficient handling of data series that are characterized by different publication lags, frequencies, and sample lengths. It also allows the extraction of model-based “news” from a data release and the assessment of the impact of such “news” on nowcast revisions. Overall, we find that the DFMs generally display a good directional accuracy and provide reliable nowcasts for GDP growth. Furthermore, the “news” pertaining to domestic indicators is the main driver of changes in nowcast revisions, while exogenous variables play a relatively minor role.
Suggested Citation
Dahlhaus, Tatjana & Guénette, Justin-Damien & Vasishtha, Garima, 2017.
Nowcasting BRIC+M in real time
,"
International Journal of Forecasting
, Elsevier, vol. 33(4), pages 915-935.
Handle:
RePEc:eee:intfor:v:33:y:2017:i:4:p:915-935
DOI: 10.1016/j.ijforecast.2017.05.002
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Tatjana Dahlhaus & Justin-Damien Guénette & Garima Vasishtha, 2015.
Nowcasting BRIC+M in Real Time
,"
Staff Working Papers
15-38, Bank of Canada.
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More about this item
Keywords
JEL
classification:
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
E37
- Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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