Divisia monetary aggregates and US GDP nowcasting

Biyan Tang, Boniface Yemba and Dongfeng Chang

Applied Economics, 2020, vol. 52, issue 32, 3538-3554

Abstract: This article nowcasts US quarterly real GDP growth rate with dynamic factor model (DFM) using Divisia Monetary Aggregate Index, Divisia M1, M2, M3, and exploits information from a large, unbalanced panel data. GDP nowcasting is evaluating the current quarter GDP given the available economic data up to the point when the nowcasting is conducted. GDP data is published quarterly with a substantial lag, while many monetary and financial decisions are made at a higher frequency. Therefore, nowcasting GDP has become an increasingly important task for central banks. This article uses DFM to nowcast GDP, compares the nowcasting results from DFM with the simple sum monetary aggregate M1, M2, M3, to the Model with weighted corresponding Divisia Index, then calculates the contributions of the Divisia Monetary index to US GDP nowcasting.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2020.1713983 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:52:y:2020:i:32:p:3538-3554

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2020.1713983

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().