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Nowcasting: The real-time informational content of macroeconomic data

Domenico Giannone (), Lucrezia Reichlin () and David Small

Journal of Monetary Economics, 2008, vol. 55, issue 4, 665-676

Abstract: A formal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized data-release dates, have a "jagged edge" across the most recent months.

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