Back to the present: Learning about the euro area through a now-casting model

Danilo Cascaldi-Garcia, Thiago R.T. Ferreira, Domenico Giannone and Michele Modugno

International Journal of Forecasting, 2024, vol. 40, issue 2, 661-686

Abstract: We build a multi-country model for simultaneously nowcasting economic conditions in the euro area and its three largest member countries—Germany, France, and Italy. The model formalizes how market participants and policymakers monitor in real time both euro-area and country-specific market-moving indicators. The out-of-sample evaluation corroborates the usefulness of a multi-country approach to monitor the euro area. Indeed, the model provides accurate real-time predictions of economic conditions both on average and in the past three recessions, while finding that soft data are timely and intrinsically informative.

Keywords: Now-casting; Multi-country model; Dynamic factor model; Euro area; Market-moving indicators (search for similar items in EconPapers)
Date: 2024
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Working Paper: Back to the Present: Learning about the Euro Area through a Now-casting Model (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:40:y:2024:i:2:p:661-686

DOI: 10.1016/j.ijforecast.2023.04.005

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