Nowcasting global economic growth: A factor‐augmented mixed‐frequency approach

Laurent Ferrara and Clément Marsilli

The World Economy, 2019, vol. 42, issue 3, 846-875

Abstract: Assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is generally considered as the benchmark nowcast by macroeconomists. In this paper, we put forward an alternative approach to provide monthly nowcasts of the annual global growth rate. Our approach builds on a Factor‐Augmented MIxed DAta Sampling (FA‐MIDAS) model that enables: (i) to account for a large monthly database including various countries and sectors of the global economy and (ii) to nowcast a low‐frequency macroeconomic variable using higher frequency information. Pseudo‐real‐time results over the period 2010–16 show that this approach provides reliable and timely nowcasts of the world GDP annual growth on a monthly basis.

Date: 2019
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Citations: View citations in EconPapers (15)

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https://doi.org/10.1111/twec.12708

Related works:
Working Paper: Nowcasting global economic growth: A factor-augmented mixed-frequency approach (2019)
Working Paper: Nowcasting global economic growth: A factor-augmented mixed-frequency approach (2014)
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