Nowcasting global economic growth: A factor-augmented mixed-frequency approach

Laurent Ferrara and Clément Marsilli

Working papers from Banque de France

Abstract: Facing several economic and financial uncertainties, assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is often considered as the benchmark nowcast by macroeconomists. In this paper, we put forward an alternative approach to provide monthly nowcasts of the annual global growth rate. Our approach builds on a Factor-Augmented MIxed DAta Sampling (FA-MIDAS) model that enables (i) to account for a large monthly database including various countries and sectors of the global economy and (ii) to nowcast a low-frequency macroeconomic variable using higher-frequency information. Pseudo real-time results show that this approach provides reliable and timely nowcasts of the world GDP annual growth on a monthly basis.

Keywords: Global growth; Nowcasting; Factor-Augmented MIDAS. (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_515_2014.pdf (application/pdf)

Related works:
Journal Article: Nowcasting global economic growth: A factor‐augmented mixed‐frequency approach (2019)
Working Paper: Nowcasting global economic growth: A factor-augmented mixed-frequency approach (2019)
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:bfr:banfra:515

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().