Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

Lucrezia Reichlin, Domenico Giannone and David Small

No 5178, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables and this effect is larger than that of the Employment Report. When we control for timeliness of the releases, the effect of hard data becomes sizeable. Prices and quantities affect the precision of the estimates of GDP while inflation is only affected by nominal variables and asset prices.

Keywords: Forecasting; Monetary policy; Factor model; Real time data; Large datasets; News (search for similar items in EconPapers)
JEL-codes: C33 C53 E52 (search for similar items in EconPapers)
Date: 2005-08
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)

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Related works:
Journal Article: Nowcasting: The real-time informational content of macroeconomic data (2008)
Working Paper: Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases (2007)
Working Paper: Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases (2006)
Working Paper: Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases (2005)
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