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Activity Number:
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122
- Advances in Nowcasting of Macroeconomic Variables: New Methods and Applications
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 3, 2020 : 1:00 PM to 2:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #312908
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Title:
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Nowcasting Macroeconomic Aggregates in Argentina: Comparing Different Approaches
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Author(s):
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Laura Inés D Amato* and Emilio Blanco and María Lorena Garegnani and Fiorella D Dogliolo
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Companies:
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IIEP University of Buenos Aures and Central Bank of Argentina and Central Bank of Argentina and Central Bank of Argentina
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Keywords:
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Nowcasting ;
Economic Activity;
Dynamic Factor Models;
Time Series;
Forecasting
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Abstract:
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Having a correct assessment of current macroeconomic conditions is one of the mayor challenges for monetary policy conduct. The main source of macroeconomic data are monthly (or quarterly) series, often published with a significant delay. Given that, central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. The focus of this paper is on nowcasting quarterly private consumption and investment growth. We develop the Nowcasting exercises using a broad and restricted set of indicators to construct different models including dynamic factor models as well as FAVARs. We compare different approaches in a pseudo-real time out-of-sample exercise and evaluate their predictive performance.
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Authors who are presenting talks have a * after their name.
