Nowcasting Activity in Argentina using Dynamic Factor Models

Having a correct assessment of current business cycle conditions is one of the major 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 c...

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Autores principales: Blanco, Emilio Fernando, D'amato, Laura, Dogliolo, Fiorella, Garegnani, María Lorena
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2018
Materias:
Ciencias Económicas
Nowcasting
state-space
DFM
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/169113
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-169113
record_format dspace
spelling I19-R120-10915-1691132024-09-02T20:02:07Z http://sedici.unlp.edu.ar/handle/10915/169113 Nowcasting Activity in Argentina using Dynamic Factor Models Blanco, Emilio Fernando D'amato, Laura Dogliolo, Fiorella Garegnani, María Lorena 2018-11 2018 2024-08-27T13:05:56Z en Ciencias Económicas Nowcasting state-space DFM Having a correct assessment of current business cycle conditions is one of the major 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. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare each individual model with alternative combinations in a pseuro-real time out-ofsample exercise and find an improvement in predictive performance using the Giacomini and White (2004) test. Finally we introduce a DFM state-space approach, being able to measure the impact of data releases or news on sequential forecast. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Nowcasting
state-space
DFM
spellingShingle Ciencias Económicas
Nowcasting
state-space
DFM
Blanco, Emilio Fernando
D'amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
Nowcasting Activity in Argentina using Dynamic Factor Models
topic_facet Ciencias Económicas
Nowcasting
state-space
DFM
description Having a correct assessment of current business cycle conditions is one of the major 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. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare each individual model with alternative combinations in a pseuro-real time out-ofsample exercise and find an improvement in predictive performance using the Giacomini and White (2004) test. Finally we introduce a DFM state-space approach, being able to measure the impact of data releases or news on sequential forecast.
format Objeto de conferencia
Objeto de conferencia
author Blanco, Emilio Fernando
D'amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
author_facet Blanco, Emilio Fernando
D'amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
author_sort Blanco, Emilio Fernando
title Nowcasting Activity in Argentina using Dynamic Factor Models
title_short Nowcasting Activity in Argentina using Dynamic Factor Models
title_full Nowcasting Activity in Argentina using Dynamic Factor Models
title_fullStr Nowcasting Activity in Argentina using Dynamic Factor Models
title_full_unstemmed Nowcasting Activity in Argentina using Dynamic Factor Models
title_sort nowcasting activity in argentina using dynamic factor models
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/169113
work_keys_str_mv AT blancoemiliofernando nowcastingactivityinargentinausingdynamicfactormodels
AT damatolaura nowcastingactivityinargentinausingdynamicfactormodels
AT dogliolofiorella nowcastingactivityinargentinausingdynamicfactormodels
AT garegnanimarialorena nowcastingactivityinargentinausingdynamicfactormodels
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