Nowcasting: The real-time informational content of macroeconomic data

• 成果类型: Article
• 署名作者: Giannone, Domenico; Reichlin, Lucrezia; Small, David
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.05.010
• 发表日期: 2008
• 页码: 665-676
• 关键词: Forecasting; monetary policy; factor model; Real-time data; nowcast

摘要

A tormal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized datarelease dates, have a jagged edge across the most recent months. (c) 2008 Elsevier BY. All rights reserved.