Nowcasting of the Russian GDP Using the Current Statistics: Approach Modification

Yury Achkasov

No wps8, Bank of Russia Working Paper Series from Bank of Russia

Abstract: This work presents a modification of the model of GDP short-term estimation based on current macroeconomic statistics initially offered in the paper titled 'Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model' by Alexey Porshakov and co-authors [8]. The model modification presented in this work considers factors separately for each of the three groups of indicators - agents' expectations and their estimate of the current economic situation; financial variables, world market and foreign economic activity indicators; real sector indicators. This model can be used to get GDP estimates for the previous and current quarters, which allows researchers to obtain information on output dynamics in the economy in addition to estimates under other models and expert judgments. Also, the model helps decompose GDP quarterly growth rates into various factors.

Keywords: GDP short-term estimation; nowcast; dynamic factor models. (search for similar items in EconPapers)
JEL-codes: C38 C53 C82 E27 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2016-01
New Economics Papers: this item is included in nep-cis and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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