EconPapers    
Economics at your fingertips  
 

Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic

Frank Schorfheide and Dongho Song

No 20-26, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: In this paper we resuscitate the mixed-frequency vector autoregression (MF-VAR) developed in Schorfheide and Song (2015) to generate real-time macroeconomic forecasts for the U.S. during the COVID-19 pandemic. The model combines eleven time series observed at two frequencies: quarterly and monthly. We deliberately do not modify the model specification in view of the recession induced by the COVID-19 outbreak. We find that forecasts based on a pre-crisis estimate of the VAR using data up until the end of 2019 appear to be more stable and reasonable than forecasts based on a sequence of recursive estimates that include the most recent observations. Overall, the MF-VAR outlook is quite pessimistic. The estimated MF-VAR implies that level variables are highly persistent, which means that the COVID-19 shock generates a long-lasting reduction in real activity. Regularly updated forecasts are available at www.donghosong.com/

Keywords: Bayesian inference; COVID-19; Macroeconomic Forecasting; Minnesota Prior (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
Pages: 19
Date: 2020-07-08
New Economics Papers: this item is included in nep-ets, nep-for, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
https://www.philadelphiafed.org/-/media/frbp/asset ... ers/2020/wp20-26.pdf (application/pdf)

Related works:
Journal Article: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2024) Downloads
Working Paper: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2021) Downloads
Working Paper: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2021) Downloads
Working Paper: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2020) Downloads
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:fedpwp:88332

Ordering information: This working paper can be ordered from

DOI: 10.21799/frbp.wp.2020.26

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Philadelphia Contact information at EDIRC.
Bibliographic data for series maintained by Beth Paul ().

 
Page updated 2025-03-31
Handle: RePEc:fip:fedpwp:88332