Nowcasting Macroeconomic Aggregates in Argentina: Comparing the predictive ability of different models

Emilio Blanco, Laura D’Amato, Fiorella Dogliolo and Lorena Garegnani

No 4335, Asociación Argentina de Economía Política: Working Papers from Asociación Argentina de Economía Política

Abstract: Monetary policy making requires a correct and timely assessment of current macroeconomic conditions. While the main source of macroeconomic data is quarterly National Accounts, of- ten published with a significant lag, higher frequency business cycle indicators are increasingly available. Taking this into account, central banks have adopted nowcasting as a useful tool for having an immediate and more accurate perception of economic conditions. In this paper, we extend the use of nowcasting tools to produce early indicators of the evolution of two components of aggregate domestic demand: consumption and investment. The exercise uses a broad and restricted set of indicators to construct di↵erent dynamic factor models, as well as a pooling of models in the case of investment. Finally, we compare di↵erent approaches in a pseudo-real time out-of-sample exercise and evaluate their predictive performance.

Keywords: Nowcasting; dynamic factor models; forecast pooling (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2020-11
New Economics Papers: this item is included in nep-for, nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:aep:anales:4335

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