 Nowcasting world GDP growth with high‐frequency dataCaroline Jardet and Baptiste Meunier Journal of Forecasting, 2022, vol. 41, issue 6, 1181-1200 Abstract: Although the Covid‐19 crisis has shown how high‐frequency data can help track the economy in real time, we investigate whether it can improve the nowcasting accuracy of world GDP growth. To this end, we build a large dataset of 718 monthly and 255 weekly series. Our approach builds on a Factor‐Augmented MIxed DAta Sampling (FA‐MIDAS), which we extend with a preselection of variables. We find that this preselection markedly enhances performances. This approach also outperforms a LASSO‐MIDAS—another technique for dimension reduction in a mixed‐frequency setting. Though we find that a FA‐MIDAS with weekly data outperform other models relying on monthly or quarterly data, we also point to asymmetries. Models with weekly data have indeed performances similar to other models during “normal” times but can strongly outperform them during “crisis” episodes, above all the Covid‐19 period. Finally, we build a nowcasting model for world GDP annual growth incorporating weekly data that give timely (one per week) and accurate forecasts (close to IMF and OECD projections but with 1‐ to 3‐month lead). Policy‐wise, this can provide an alternative benchmark for world GDP growth during crisis episodes when sudden swings in the economy make usual benchmark projections (IMF's or OECD's) quickly outdated. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:41:y:2022:i:6:p:1181-1200 Access Statistics for this article Journal of Forecasting is currently edited by Derek W. Bunn More articles in Journal of Forecasting from John Wiley & Sons, Ltd. |
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