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GDP Nowcasting: Assessing business cycle conditions in Argentina

Laura D´Amato (), Maria Garegnani () and Emilio Blanco ()
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Laura D´Amato: Central Bank of Argentina

Authors registered in the RePEc Author Service: Laura Inés D'Amato ()

No 201569, BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department

Abstract: Having a correct assessment of current business cycle conditions is one of the mayor challenges for monetary policy conduct. Given that GDP figures are available with a significant delay, central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. Thus we develop a GDP growth nowcasting exercise using two approaches: bridge equations and a dynamic factor model. Both outperform a typical AR(1) benchmark in terms of forecasting accuracy. Moreover, the factor model outperforms the nowcast using bridge equations. Following Giacomini and White (2004) we confirm that these differences are statistically significant.

Keywords: bridge equations; dynamic factor models; nowcasting (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2015-11
New Economics Papers: this item is included in nep-for and nep-mac
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