Nowcasting Czech GDP in Real Time

Marek Rusnák

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: The prominent measure of the current state of the Czech economy, gross domestic product (GDP), is available only with a significant lag of roughly 70 days. In this paper, we employ a Dynamic Factor Model (DFM) to nowcast Czech GDP in real time. Using multiple vintages of historical data and taking into account the publication lags of various monthly indicators, we evaluate the real-time performance of the DFM over the 2005–2012 period. The results suggest that the accuracy of model-based nowcasts is comparable to that of the judgmental nowcasts of the Czech National Bank (CNB). Our results also suggest that foreign variables are crucial for the accuracy of the model, while omitting financial and confidence indicators does not worsen the nowcasting performance. Finally, we show how releases of new data can be viewed through the lens of the dynamic factor model.

Keywords: Dynamic factor model; GDP; nowcasting; real-time data. (search for similar items in EconPapers)
JEL-codes: C53 C82 E52 (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-for, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Journal Article: Nowcasting Czech GDP in real time (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2013/06

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