Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model

Anton Grui () and Roman Lysenko ()
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Anton Grui: National Bank of Ukraine
Roman Lysenko: National Bank of Ukraine

Visnyk of the National Bank of Ukraine, 2017, issue 242, 5-13

Abstract: This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data releases on the accuracy of forecasts.

Keywords: Principal components; nowcasting; factor model (search for similar items in EconPapers)
JEL-codes: C53 C82 E17 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2017:i:242:p:5-13

DOI: 10.26531/vnbu2017.242.005

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