Nowcasting Indonesia

Matteo Luciani, Madhavi Pundit, Arief Ramayandi and Giovanni Veronese

No 2015-100, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We produce predictions of the current state of the Indonesian economy by estimating a dynamic factor model on a dataset of eleven indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators of current economic conditions, Indonesia presents additional challenges typical to emerging market economies where data are often scant and unreliable. By means of a pseudo-real-time forecasting exercise we show that our model outperforms univariate benchmarks, and it does comparably with predictions of market operators. Finally, we show that when quality of data is low, a careful selection of indicators is crucial for better forecast performance.

Keywords: Dynamic Factor Models; Emerging Market Economies; Nowcasting (search for similar items in EconPapers)
Pages: 21 pages
Date: 2015-11-09
New Economics Papers: this item is included in nep-for and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.federalreserve.gov/econresdata/feds/2015/files/2015100pap.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/FEDS.2015.100 DOI (application/pdf)

Related works:
Journal Article: Nowcasting Indonesia (2018)
Working Paper: Nowcasting Indonesia (2015)
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:fip:fedgfe:2015-100

DOI: 10.17016/FEDS.2015.100

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().