Real-time Forecasts of Economic Activity for Latin American Economies

Philip Liu, Rafael Romeu () and Troy Matheson ()

No 2011/098, IMF Working Papers from International Monetary Fund

Abstract: Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions. These assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag. This paper evaluates "nowcasts" and forecasts of real GDP growth using five alternative models for ten Latin American countries. The results indicate that the flow of monthly data helps to improve forecast accuracy, and the dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries we consider.

Keywords: WP (search for similar items in EconPapers)
Pages: 25
Date: 2011-04-01
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Citations: View citations in EconPapers (6)

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Journal Article: Real-time forecasts of economic activity for Latin American economies (2012)
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