Nowcasting BRIC+M in real time

Tatjana Dahlhaus, Justin-Damien Guenette and Garima Vasishtha

International Journal of Forecasting, 2017, vol. 33, issue 4, 915-935

Abstract: Given the growing importance of emerging market economies (EMEs) in driving global GDP growth, timely and accurate assessments of current and future economic activity in EMEs are important for policy-makers not only in these countries, but also in advanced economies. This paper uses state-of-the-art dynamic factor models (DFMs) to nowcast real GDP growth for Brazil, Russia, India, China, and Mexico (“BRIC+M”). The DFM framework is particularly suitable for EMEs, as it enables the efficient handling of data series that are characterized by different publication lags, frequencies, and sample lengths. It also allows the extraction of model-based “news” from a data release and the assessment of the impact of such “news” on nowcast revisions. Overall, we find that the DFMs generally display a good directional accuracy and provide reliable nowcasts for GDP growth. Furthermore, the “news” pertaining to domestic indicators is the main driver of changes in nowcast revisions, while exogenous variables play a relatively minor role.

Keywords: Dynamic factor model; Nowcasting; Real-time data; Emerging markets (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (20)

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Related works:
Working Paper: Nowcasting BRIC+M in Real Time (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:33:y:2017:i:4:p:915-935

DOI: 10.1016/j.ijforecast.2017.05.002

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