NOWCASTING REAL GDP FOR SAUDI ARABIA

Ryadh M. Alkhareif and William Barnett
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Ryadh M. Alkhareif: International Monetary Fund, and Saudi Arabia’s Ministry of Finance

No 202018, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: The paper constructs monthly GDP nowcasts for Saudi Arabia by estimating a Generalized Dynamic Factor Model (GDFM) on a panel of 272 variables over the period from January 2010 to June 2018. The GDP nowcasts produced in this paper can accurately mimic GDP growth rates for Saudi Arabia, including for the non-oil sector. Our GDFM has outperformed other traditional models in tracking the business cycle in Saudi Arabia. In our view, the non-oil private sector GDP nowcasts provided in this paper can substitute the traditional set of indicators used to monitor monthly private sector activity.

Keywords: Nowcast; non-oil GDP; generalized dynamic factor model; principal components analysis. (search for similar items in EconPapers)
JEL-codes: C22 E37 E53 (search for similar items in EconPapers)
Date: 2020-11, Revised 2020-11
New Economics Papers: this item is included in nep-ara, nep-mac and nep-ore
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Working Paper: Nowcasting Real GDP for Saudi Arabia (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:kan:wpaper:202018

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