Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

Domenico Giannone, Lucrezia Reichlin and David H Small
Additional contact information
David H Small: Federal Reserve Board

No 164, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group

Abstract: This paper formalizes the process of updating the nowcast and forecast on out-put and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables and this effect is larger than that of the Employment Report. When we control for timeliness of the releases, the effect of hard data becomes sizeable. Prices and quantities affect the precision of the estimates of inflation while GDP is only affected by real variables and interest rates

JEL-codes: C33 C53 E52 (search for similar items in EconPapers)
Date: 2007-02-02
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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http://repec.org/mmf2006/up.9709.1159524114.pdf (application/pdf)

Related works:
Journal Article: Nowcasting: The real-time informational content of macroeconomic data (2008)
Working Paper: Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases (2006)
Working Paper: Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases (2005)
Working Paper: Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc06:164

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